How to propertly use loft for different shapes?

I want soft transition from circle to modified circle (that have more control points than basic circle). And of course I need to add all shapes in loft process. See the picture.

Sorry for bad English.

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Ok, I realized that I need to loft one by one segment. Now i got good structure (see image) but that structure is basic shell. I need closed structure and cylindrical hole from start to end of part.

 
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