No question in my mind that the sample you've shown is hand drawn and not a 3D render or something. There are ways to make building something like this a little easier on yourself though.
Draw a path, with a thick stroke and rounded end caps:
Select the path, then go to Object > Path > Outline Stroke:
Slide your original path over a bit and adjust it until it lines up:
Select your paths and Pathfinder > Divide. After a little cleanup and some gradient fills, voila:
I'll admit, mine is a little rushed and kind of ugly, but it shows how you can create the foundation of a shape like that in just a minute or so.