Not sure I understand the question completly, but for fuent shapes I usually like to draw a curved line, the extrude the line to a surface, and then extrude that surface to a certain thickness.
If you want to get a fluent connection between to shapes, lets say a square and a circle, you need "spaceclaim" the paid (or otherwise obtained) version of design spark mechanical
Exactly like you describe it, if i use spaceclaim how would ii do the shape like you just described?