The answer is: Whatever you said, you're wrong. Instead you get this:
Thingiverse link: http://www.thingiverse.com/make:63728
Settings: MakerWare .3mm/low, with no raft and no support. This makes a nice model but the detail on the stars could be better, so next time we'll use a finer setting.
Further reading: Making sliced Menger cubes is a popular sport. MadOverlord's design Diagonally-Sliced 3-Level Menger Sponge is a nice Level 3 version. Over at the Simons Foundation, George Hart has a nice video about slicing Menger cubes. And Gaya has a nice post on her blog A Girl with a 3D Printer about the advantages of printing Menger cubes diagonally instead of in the upright position. Printing upright/horizontally causes great sadness and an impossible amount of support to remove, but diagonal printing allows for beautiful prints without any support material at all.