Instead of trying to extrude all the way around the square you might want to consider using loft on each side.

1. Create a nurbs square
2. Create a profile curve and center its pivot
3. using curve snap place the profile at one of the corners at a 45 degree angle
4. then duplicate the profile placing the duplicates at the remaining 3 corners also at 45 degrees
5 then just loft each side
6. when you have all the sides lofted you can attach the four sides if you desire a single piece of geometry


step 1 and 2 and 3...