Hey man I'm glad you liked it!
So, it's not that complicated to build it up, here is how it goes.
I start with the base curve and shapes I want to use as cross sections, like these:
Then in 3dsMax I make a compound object called Loft, which basically extrudes one shape over the path of another. So I get these:
Cool thing about Lofts is that you get control over some things over the length of the spline. Things like scale and twist, so by adjusting those curves you get this:
Combining them you get this:
And the cool thing is they are all referencing the original spline in their Lofts so changes are easy:
Another uber-cool things about Lofts is that they can generate UVs for you, all nice and tidy.
That is the base of it all. After that I sometimes adjust UVs if I aim for specific effect, apply vertex colors/alpha and manually tweak some parts if necessary.