Another possible approach is to make a loft through some sections like this where the curved corners are gradually expanding on each layer:






The loft initially has an open top, I then turned on surface control points and collapsed the circle edge down to a single point using the edit frame (there is a "flat" snap that you can use for that) and then also flattened that squished down point to be in the same plane as the next inside row of points, having a collapsed point be in the same plane as the next level of points will make a smooth looking tip instead of a sharp point.

For this kind of a thing you want the sections to only gradually change in shape, if you have too big of a change from one section to the next it can make things bumpy. Using Loft style = loose can help reduce bumpyness.

- Michael