After gazing for a while at this nice piece of welding i started trying to model it. However, I can’t get my arms around how to model this properly, fast and efficient.
Simple question, what would be the right approach?
The “right” approach? The one that works is the right one. 
For me, I just did it brute-force style. Basic steps:
- In Edit mode, subdivide the default cube (I used 10 cuts, but you could do more).
- Select the faces that make this shape. It’s a little tricky, but not all that bad.
- Invert selection and delete everything else.
- Do a lot of extruding (or duplicate and move) by the size of your subdivision (or just snap the 3D cursor and scale to its location)
- Backfill anything missing using Bridge Edge Loops and and delete any internal faces you may have made.
- Run Remove Doubles for good measure.
There’s probably a faster, more elegant approach, but the brute-force method doesn’t take all that long to do.
That was exact the method I came up with myself. However, it felt so unelegant I thought there would be a more sophisticated way of doing things.
The most elegant way to do this is with a silicon graphics system:
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kidding aside, here is a semi elegant start, it will at least get you an edge following that shape:
select these edges:
bevel with these settings:
reselect these edges (ctrl + - to select less, then select edge loops):
delete vertices and you are left with that shape, in wireframe form:
I haven’t found a particularly elegant way to solidify this, the skin modifier gets close, but is kinda bonky, converting to a curve and adding a square bevel mesh is also close, but getting the twist right is hard.
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Very nice!
Too bad the skin modifier doesn’t finish the job here.
I wonder if you could convert that into a curve and extrude a cube around it?
When you get to the last image with “wireframe” form, try the Wireframe modifier.
Looking good, where do we find zmj100’s extrude along path add-on?