Three-dimensional (3D) printing, as a layer-to-layer additive manufacturing technology, has received widespread attention for excellent designability. However, as for direct ink writing (DIW), current printing level is difficult to achieve high-precision printing of thermoset composites of different compositions. Therefore, fully 3D printing based on thermoset composites with high designability is proposed. The intralayer and interlayer of structure and materials prepared by this method are designable, and layer thicknesses as well as inter-layer patterns are adjustable. In this work, alumina (Al2O3) and short carbon fiber (SCF) are used as thermally conductive fillers, polydimethylsiloxane (PDMS) is conducted as thermoset matrix. Benefit from the high designability of our method, a series of Al2O3/SCF/Al2O3 (ASA) and SCF/Al2O3/SCF (SAS) composite samples with sandwich structures are fabricated and compared. The different materials and structural designs of these composite samples give them completely different properties in terms of thermal, electromagnetic shielding, and mechanical properties, making it possible to create customized designs for different scenarios. Taking thermal management materials (TMMs) as an example, we use this method to prepare ASA and SAS composites with sandwich structure, thermal conductivity of A40S30A40 and S30A40S30 reached 1.00 W/(m·K) and 1.55 W/(m·K) respectively. In all, customized and multifunctional applications make PDMS composites have a widespread prospect.