| Theres several ways to go about it:-|
Fisrt one is to use splines but instead of sideways, think about cross-sections along its length, make one circle spline, copy it and tweak/scale at each level, drop them in order into a LoftNurbs object, if you want make it editable then tweak in point/face mode..extrude fins, Knife cut extra details etc
Second one is to box model it. Start with a box, press C to make it editable and extrude and scale in face mode, tweaking in point mode, use the knife "K" to cut in extra details like fins, extrude them out and drop it all into a hypernurbs to smooth (hi-poly though)
There are other ways like point by point modelling which I prefer but these should get you started. Hope that helps...