Moving spline points on Z plane?

I can show how to make a curved line that changes it’s path on three axes. But I’ll bet you know that already, but please see below - it’s what’s in my head anyway.

I’ve never used Solidworks so I’m not sure how you would use the splines to create the solid bodies you show in the YouTube video, and therefore I don’t know if this is a slow (or even useless) way.

I’d be very interested to know how a 3D spline would be used differently to this. I’ve never really got to grips with them.