I'm not a 3D person anymore, and when I was it was AutoCAD or Rhino, but I think you're approaching it in a more difficult manner.
Draw a single section:
Then in plan draw a path / polyline / spline whatever 3d max calls this, the black being the section (which would actually just look like a small horizontal line):
Then just extrude the surface along that path. Here are instructions for that part: Autodesk Knowledge Network
It might be a Sweep Modifier you need instead, I'm really not sure in 3D Max.
But definitely do the more complex section first and then find the command that lets you extrude it along the path.
Update: According to Brenn the function is Lathe Modifier. In CAD this was called 3DRevolve and is also useful but different, at least in CAD that was only if you want to create it as an actual circle. Since yours is not a perfect circle (looks oval to me), I think you need to Sweep a line. But I'm not positive, perhaps in 3D Max the Lathe modifier has more functions than it did in CAD.