It is recommended you keep the layer height under 20 microns(.02mm) as this will help with the oblique angles necessary to print overlapping extensions, as those found on the water screw helix.
The sample photo was printed at 18 micron layer height with a 300 micron nozzle in PLA. The downside to this is that it will take around 26 hours to print.
The second file, Water_Sails.stl will also print in one go with no support necessary. It is recommended that you level your heat-bed perfectly before printing this file out, as the pieces are very thin and will need the best level possible. It is recommended you go for your printers finest settings. Try to print at a layer height of 15 microns or below.
To assemble the sails, first prepare the shaft top and place the sails around it. The distancing between sail centres should be equidistant around the shaft centre. The easiest method to do this is to print out a pentagram of the appropriate size on a piece of paper and mount the whole thing using this as guide.
The easy method of assembly for the sails, is if you just stick the sails flat around the shaft centre. All you have to do is set the whole thing out on a flat surface and super glue everything together. Then wait till dry to handle.
If you want to angle the sails for a realistic windmill effect, then I suggest you drill minute holes around the shaft and pin the sails in place with thin pieces of wire or pins, then just glue and twist the sails around the pins to the required angle.
You can also just eyeball the position and glue the sails by hand. The best method to do this is to put a blob of superglue on the sail part and hold it in position, then quickly spray some superglue accelerator on and it will set instantly. Warning! Trying to do this without superglue accelerator can seriously damage your mental health and give you very sticky fingerprint-less digits.
The Extras folder has a high, standard and low resolution version of this model along with bits and bobs which you can use to print individual parts and such.