Hi dodo, it will probably be difficult to try and build that out of a single surface because of how it intersects itself.

Try building it in a few separate pieces, you will need to position some cross section curves and then use the Loft command to build a surface through them, or you may want to have a central path curve and then use Sweep to build the surface.

If you make some progress and then need some help, please post the 3DM model file of what you currently have here.

You may be able to find a mechanism to automatically generate a shape like that in some other system, like here's one for Rhino's Grasshopper system:
http://eat-a-bug.blogspot.com/2009/01/klein-bottle.html

- Michael