Try this:

stage 1

[1] Create wiggley horizontal line (1pix thick is enough) of any colour you fancy
[2] Create a second wiggley (or just curved) horizontal line of any other colour you fancy
[3] Seperate the lines by a reasonable distance on the page (one under the other)
[4] Select the Blend too (W) and blend the lines using 99 steps
[5] Draw a vertical wiggley line through the blend (start and finish outside the blend)
[6] Set that line to no colour
[7] Select all (Ctrl+A)
[8] Select the blend tool (W)
[9] Press the 'Blend along curve' button on the info bar.

stage 2

[1] Draw another horizontal wiggley or curved line through the blend (start and finish outside the blend)
[2] Set no colour to line
[3] Select all (Ctrl+A)
[4] Select the Blend tool (W)
[5] Press the 'Rotate along curve' on the info bar.

Optional

[1] Select all (Ctrl+A)
[2] Select the Blend tool (W) and change the steps on the info bar to whatever you fancy.