As shown in the image above;

• Create a cube. Select one poly face and under the Polygon tools tab, select Sketch Extrude and drag out from the blue dot for the required length, making multiple, even stops along the way.
• (Alternatively, simply drag out a cube that is say, 1x1x10)
• In poly-mode, double-click on the item to select all polygons.
• Under the Polygon tab, click on the Spikey tool, then click on the object. Each face will be sub-divided into 4 tris.
• Whilst still selected, click on Bevel (B) (make sure Group Polygons is unchecked), and then drag the red-handle in slightly.
• Press backspace or Delete to remove the inside polygons.
• That's it!
• If you want to add some thickness, whilst still selected, click on the Thicken tool and drag slightly.