This is probably a bit on the hacky side. I've always been that way when it comes to modeling really. I've always had a lot of problems with the whole lofting type extruding shapes down paths technique, but Ive got a feeling that stuffs better in Max. But for this guy:
It was a case of:
make cylinder, assign UV's.
Skin with joint at each segment edge loop. Pose accordingly, del history.
Select each edge loop down the length and bevel until you have 4 edges close together at each segment edge loop.
Select the middle row of faces for each group of segment loops and and globally extrude inward to create the grooves.
Heres the unsmoothed wire:
Judging by the speed of his immaculate work, Im sure Chico has some far better techniques.