Hello Pao Pao,
To start, draw one of the desired profiles of the form in the elevation view (this can be done with line work). Start by drawing one arc (the outer arc for example) and offset a copy of this arc or simply draw a second smaller arc. Finally join the two arcs together using two lines (see image below).
Next, select the morph tool from the tool bar and hold down space bar (magic wand) and left click anywhere inside the profile you have drawn. You should end up with something like this (see image below).
2D:
3D:
Next, select this morph in the 3D view and click anywhere on its face. This will bring up the pet palette, select the push pull option and extrude the profile to the desired length (see image below).