Hi scott - usually the best way is to initially start with all planar curves even though your desired end result has a non-planar part to it.

Don't worry about that non-planar part right off the bat, you want to form it by cutting off some of the simplified extended base "all planar constructed" piece.

This concept of initially building extended pieces and then forming some of the final edges by cutting pieces of it away is one of the most important modeling strategies for NURBS modeling. That's instead of trying to draw all the final edges in right from the start and then trying to build surfaces directly to all those edges. If you do it that way (build all edges first) you will have various non-planar and irregular outlines which will be more difficult to surface.

Here's how the "build extended" type method would look like:

Start with 2 planar profiles, loft between those yielding a base solid:



Draw in another 2D planar curve in the side view which you will use as the cutting object:



Select the base solid and run Construct > Boolean > Difference to cut it up into pieces. Each piece will have the extruded "imprint" of your side view cutting curve in it, all trimmed in place and finished up:




Now if you want to hollow it out select the top face and run Construct > Shell:






So the key thing overall is to think more about building "base stock" pieces which are simplified and extended, and chunks of those are cut off, rather than trying to draw all kinds of warped curves right off the bat and then worrying about how to surface the warped curves. It's best if the non-planar curves are generated for you by some kind of cutting and intersection operation rather than directly drawn.

Often times people coming from a polygon modeling background have some difficulty getting used to this workflow since it's so different from what they are used to with sub-d modeling where booleans are completely avoided. The difference is that usually in NURBS modeling booleans are the primary way to get things done and you usually plan to use them as the first preferred method.

There are some related tips here for people coming from a poly modeling background:
http://moi3d.com/forum/index.php?webtag=MOI&msg=4865.2

Hope this helps!

- Michael