What is a 3-D octagon called?

A 3-dimensional shape with eight sides is an octahedron.

If you would refer to a 3-dimensional octagon, just call it that, people will understand what you mean.

Or maybe you mean an octagonal prism. That's an octagon, except it is extended into the third dimension by stretching it, so it has an octagonal base but the other sides are triangles all connecting at one point above the octagon.