actually, there's a cleaner way to do it, and it uses some very simple tools, and will give you waaaaay less polygons and still allow you the ability to tweak it.
I took the liberty of taking some screenshots to aid the process.
First, start with a polygonal cylinder, about 8 or so sides should do, you can smooth it later to make it look nicer. Then create your profile curve from the middle of the cylinder in the shape you are trying to create. You should have something like the picture below at this point.
Now, select the top faces of the cylinder, and shift-select the profile curve. Then go to your edit mesh menu (edit poly for pre-maya

and select the option tab for Extrude face. You will want to make sure that you check the box that says "use selected curve for extrusion"
click on Extrude, and you should have something that looks like the image below.
Now you will want to take a look in the channel box and up the divisions from 1 to whatever it takes to make it look nice.
That's about it. Super simple, and you can still edit your curve to change the geometry. Try doing it with a curve that you turn into a dynamic hair. You can actually do some really cool things using this technique.
-Z