If you are also needing a non-round profile swept around a square helix you will need to create a second helix to use as a guide curve to stop the profile twisting.
Also in the tutorial CADGemini posted above, steps 15 to 20 can be replaced by using the Intersection Curve tool and selecting the surface bodies. The Composite Curve can then be created by selecting the Intersection Curve sketch rather than all the individual entities as suggested.