Hi Brian, right now are you trying to put a rounded corner on the curve pieces while they are still hugging the surface?
Curve fillet will not work for that, since curve filleting requires the curves being filleted to be all on the same plane, that's because the regular curve fillet generates an arc as the rounded piece and an arc curve is a planar object itself.
When you are working with 3D swooping curves like that you may instead want to get things into a trimmed surface piece first, then thicken the surface and then do an edge fillet on that solid edge rather than focusing so much on blending the 3D swooping curves corners initially.
Also you may have already seen these but just in case you haven't here are some previous discussions:
