The trick to this one is to pay attention to the way you press your seams. Make sure they're pressed to the opposite sides. This will make your piecing easier and minimize the bulk in the seams.
This time when I pressed the seams, I chose to go clockwise. This will minimize some of the bulk in the middle. When you are sewing these sets together, it is important you end 1/4 from the end of the fabric on the outside corners. This will make your life much much easier on the next step.
Now you do the same thing for the other side. Remembering to stop just before the pin and backstitch. If you notice from the picture below, I fold the fabric out of the way so that I'm not fighting it while sewing.
Press so that the triangle is flat. If you need to, you can trim a little of the bulk of the seam in the corner to help things lay a little flatter.
Here things are with the 4 corners attached and the 4 pieces put together. Now attach the middle triangles using the same technique for Y-seams above.