A ceiling baffle assembly including a panel structure and at least one locking piece. The panel structure is alterable between a flat state and a folded state and forms a ceiling baffle having a top end with one or more insert locations when in the folded state. The locking piece has a top portion, a first side portion extending downwardly from the top portion, and a second side portion extending downwardly from the top portion. The second side portion is spaced from the first side portion. The locking piece may be non-integral with the panel structure. The first and second side portions of the at least one locking piece may be insertable into one of the one or more insert locations to hold the panel structure together in the folded state.