You need two things: a helical curve and a sketch with a 'pierce' constraint to an end point of the helical curve.
Helical curve Start by sketching a circle as the diameter of the helix. Lock it to the origin. With that sketch highlighted, pick 'Insert>Curve>Helix/Spiral'. Fill in the parameters for pitch, turns, starting angle and direction.
Sketched profile for sweep If you selected as a starting angle of either 0 or 90 or a multiple, you can sketch on an existing plane that the end points lie on. Make a relation between the profile sketch and the helical path by picking a center point or vertex geometry for the pierce point and select the helix sketch. The 'pierce' constraint should appear in a list.
Create the sweep With profile sketch selected, pick either the Sweep icon or 'Insert>Boss/Surface/Cut>Sweep'. The profile should be filled in, so just pick the helical curve for the path. When feature previews, indicating a go, click the green 'ok' check.
David Janes