This piece is tubular. We need to give it an inside.
Go into edit mode and press A to select everything.
Press E to extrude. This will make a copy of the mesh that is linked to the original around the edges. You can move this copy around with the mouse, but in this case we want to keep it in the same place so just press ESC.
Now press S to scale down the copy. We are going to turn it into the inside surface.
We want the inside of this tube to be just as tall as the outside, so press SHIFT+Z to tell blender not to scale the Z axis. Conversely, you could press Z if you wanted to scale only the Z axis but not any others. The same goes for the X and Y axes as well.
Move the mouse until the tube is the right thickness, then press ESC when you are done.
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