There are several methods to do these:
1.) Sweep or Loft (use guide curves), as you mentioned work, but you need to be very careful. They can be tricky, but once you figure out some of the do's and dont's very effective. When determining if you should use a sweep or a loft, there is one simple rule:
If the profile is always the same shape in which only dimensions vary, use a Sweep. For example, the profile is always a triangle, with 3 sides.
If the profile changes shape other than simple dimensional variations, use a Loft. For example, the profile changes from a circle to a square.
2.) Sheetmetal functionality can also be used. Create a sheetmetal cylinder (359.9deg), unfold it, cut the cam profile, and then refold it. Then add any other necessary solid features like filling the center of the cylinder etc.
3.) The new wrap functionality in SWX2004 could also be used to wrap the cam profile onto your cylinder.