From what I see there are few different techniques so I will try to cover three of them.
First of all, you are right with using pen tool and then applying the stroke. This give you the basic line. You can multiply it and rotate it a little and then apply some outer glow and blend mode. Those are my settings
Now let's add some curves with a fin. Again, stroke a path, but this time choose bigger brush.
Now, as you can see I added much more styles. With gradient overlay you need to remember to uncheck "align with layer". Play with options and then try different blend modes. Remember that blend modes in the styles are applied for the effects while the layer mode apply to whole object.
Now, for the fun part. Here I created a shape because it will be much easier to show what we can do.
First we can change blend to "linear dodge" and with eraser with "hardness" set to 0% just remove some of the shape. On the left you see some of the layers copied one on another and on the left the shape is treated with burn and dodge tools.
Another way is to create a selections from the shape and then painting/brushing inside of him with soft brush. You can paint with any color, just try to get this aurora borealis effect. The just apply gradient overlay to the layer.
Then to those things many times, stoke he layers and you should get something similar to your picture.
In the end I decided to play with some smudge tool to give the stroke more windy, natural wavy feeling.
Hope this will help.