I recently boxed my Lally columns (to meet fireprotection codes rather than for appearance), and I used an approach similar to the tip by James Whidden. The foamed-in-place method described in that tip is effective, but you can leave out the foam if you rip the corner pieces at 45° (I made mine out of 2x2s). The triangular cross section allows the drywall to fit tightly against the column, saving space and eliminating the need to be anchored.
As shown in the drawing, I assembled a three-sided box and placed it around the column. Then I slipped the fourth side with its preattached comer pieces into place, and screwed it to the adjoining pieces.
Chet Burgess, Wappingers Falls, NY