I made this one from a smoothed cube rather than a sphere.  A smoothed cube keeps parallel edge lines, better for selecting the polygons that make a + shape.  Then duplicate, extrude along normals and make the selection slightly smaller.  Then extrude in just a tad, extrude again and bring in just another small bit and use the size tool to invert the curve from convex to concave.

I did this in XSI.  Maya also allows for the size tool to go "negative."  I was unable to get 3dsMax to do it.

Sorry, I have no clue really about Blender.