How can I model this shape with curves?

I am trying to make a pistol grip, something like this:

Using curves (partially because I want to learn them better and because I have better control over the final poly count on such smooth shapes).

My problem is that no matter what I use, NURBS, surface, bezier, I can’t seem to get a full 3D shape. There is always a hole somewhere that I cannot cap because the curve refuses to extrude or merge on that area (always saying “Too few selections to merge”).

I have made this shape. But as you can see, the bottom of the pistol grip, and the top - I cannot fill (without converting to a mesh, and then I would have to fill that area by hand, but as it is round, I lose all the benefits of curves if I do that manually - because I want the mesh to look smooth later when I apply a Subsurf).

Is this a limitation of curves (or I just don’t understand how they work)? How can I make this kind of profile that would be filled on all sides?