Funny thing!

 From:  Michael Gibson
4775.10 In reply to 4775.9 
Hi Felix, you can actually make a self-intersecting object if you only want to make a render mesh for it, but yeah they need to be avoided if you want to do things that will involve surface/surface intersection calculations with the object such as booleans.

This is certainly a tricky shape to try and make without self-intersection though.

I think you'll have to stop the main sweep something around here:

And then make the rest of it with just the outside half portion of the profile, something like this:

Or maybe you could try only doing a half profile (the outer half) along the entire sweep length and then an inner profile that stops before it folds in on itself, and then do a blend between them to connect them up.

- Michael