I'm not sure about FSDS.. but here's what you can do with gmax.
Make a cylinder.. and move the vertices to the cross section you want. Select the front polygon and extrude it.. then mould it into the second cross section..and repeat.
In FSDS .. given a set of cross section backdrops (I usually arrange them in one backdrop image) I'll take a structured tube with as many cross sections as I need, and in cross-section mode, adjust each of the tubes cross-sections. If the next one is similar to the one I just did, I'll copy the current cross section to template, then go to the next one and "conform to template" and adjust from there.