Next to nothing is known about the early history and development of Changgi. It just appears in existence, out of nothing, during the latter half of the 16th century. The first mention is in a diary (Published under the Japanese title Bigan nikki sô ('Outline of the diary of Miam'), 5. vols., Keijô 1936--1938 (Chôsen shiryô sôkan ('Reprints of Korean historical materials') .8.), vol. 1, book 1, p4.); the respective entry only states that the author, Yu Hûi-ch'un (1513--1577) played Sanggi (Written with the Chinese characters for Xiangqi (first characters means 'Elephant' etc., whereas in Changgi the first characters means 'General'.) against his acquaintance Kim Yo. We do not even know what kind of chess (Xiangqi or Changgi?) these two played. In the next mention, an essay by Chang Yu (1587--1638) (Printed in Kyegok chip, ('Collected Works of Kyegok'), Seoul 1982, p53-54; English translation in Chess. Chang Yoo (1587--1638AD), with comments by the editor, in: Korea Magazine, Vol. 2 (1918), p5--9.), we get a full description of the game, and lo and behold! it is absolutely identical to the modern game. It's a pity he didn't say anything on the shape of and materials used for the pieces.
The 16th century author Sim Su-kyông (1516-1599) finally describes the materials that were used to make Changgi pieces. in his work Kyônham chamnok ('Different notes to pass the time')(Reprinted in Richo kakushu bunken fûzoku kankei shiryô satsuyôâ ('Compilation of materials on anthropology from various literary sources of the Yi dynasty ( 1392--1910)'), Chôsen Sôtokufu Chûsuin (ed.), Keijô 1944, p1121-1122.) According to him Changgi pieces were mainly made from wood, with carved characters that are filled with paint or lacquer. As far as I know, there aren't any published descriptions or photographs of early Changgi pieces. In addition, I've never seen old pieces on exhibition anywhere. (I recall having seen 19th century pieces somewhere -- though I can't remember, where.) It seems there is still much left to do in connection with Changgi. So we don't even know when Changgi pieces got the octagonal shape they have today.