Two flat shapes were cut from sheet steel with a band saw. These were laid on top of each other, and then MIG welded together at the seam. A small space at the narrowest part of the piece was left without a weld. A cold chisel was then used to open up a gap, to which a pipe fitting was welded. The entire piece was heated over a furnace until red hot. Compressed air was sent through the pipe fitting, which inflated the shape. The photo below shows the shape after it was cut up into sections. 

I experimented with a top heavy spiral structure until it finally balanced on its own. A TIG welder was used to connect the pieces together.