Which version of SWX are you using?
2005 (I think...maybe 2004) introduced a new sweep option in which the profile can twist along the path. This should get you exactly what you want.
Here is what I have done before:
Create my path (centerline of the helix).
Create a sketch with a plane normal to the end of the path. This sketch is just a SIMPLE line going from the path the the center of my profile.
Sweep the line along the path with the twist option to get a auger like surface.
Now, use the edge of the auger as the path for my helical sweep.
This way, my profile is always normal to my helical sweep path.