Here is the Tutorial.
Start SolidWorks in Part mode.
Draw a spline.
Exit the sketch. Now Reference Geometry>>Plane under surfaces or features tab.
Select the spline.
Now select the end point of the spline. It will create a plane normal to spline coincident to the end point.
Now Plane1>>Sketch and draw any closed entity.
Exit the sketch and select Swept Boss/base under features tab.
Select the sketch on plane1 as the profile.
Select the spline as the path and under options change orientation/twist type to twist along path.
Change define by to turns and enter value of 8 or something similar.
Click OK and we have the feature genearted.