Create a profile curve, create a path curve.

Select profile. Shift and select path.

Surfaces > Extrude > Options.

In the options, you can use polygonal outputs so your result is a polygon object. Experiment with the settings to get the kind of result you want.

I have a tutorial about converting Nurbs to Polygons that goes over the polygon settings that the Surfaces menu uses. It's at my personal site. (link in sig)

Good luck!