Does anyone know how to create this sort of shape in solidworks?

Josh,
If you want a lot of control over the shape and the twist use as many cross-section sketches spaced on the length of the twist as you see fit. At minimum you will need a top sketch and a bottom sketch. If the twist is a bit hard to control then you need a few guide curves (3d sketch connected to your cross-sectional sketches) in there as well. Then use the Loft tool as a solid or a surface, which ever process you are more comfortable with. Doing some surface model tutorials that are built into SW will help get you familiar with the tools.
~J

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The surface modeling, instead of solid would be identical. An additional sketch note, if the cross-section is the same all the way up make one sketch, then copy it. You could also extrude with a twist...

Just do an extrude and then use flex command with twist option.