This is my mini tutorial for this problem. Maybe it accually will help someone.
Create a point on the first sketch which is horizontal to the xy plane
Create a point on the second sketch which is horizontal to the yz plane
Click on Multi-Surfaces definition tool in Generative Shape Design Workbench adn add both sketches. Then click with right mouse button on Closing point 1 (not on the arrow) label and pick "Replace". After that just click on the point made in step 1. Repeat for Closing point 2.
This is how it should look like. Just click ok and move on :D