Hmmm, after tinkering a bit in AI, I moved over to a couple 3D apps (Blender and Sketchup - both free) and I found it much easier to extrude and twist a few lines than to try the same thing in AI. AI has limited 3D capabilities - though if someone can tell me a way to do it in AI, I'm game.
BTW: he leaves out selecting the lines (in your case), then adding the "screw" modifier and fiddling with settings.
If you know nothing of 3D (I don't know much - only enough to get me through some touchy areas), this might not be so good, but Sketchup might be better, too. Lots of tutorials, instructions, scripts, etc. from both communities only Blender is totally free while Sketchup has a free and a pro version ($600).