This question has been asked many times and there are several ways to do this.
This solution came from Jacant
- Draw your two different shapes
- Draw two lines to connect the two surfaces.
- Select both surfaces.
- Use the 'Pull' tool with the 'Sweep' option. Control click select the two lines as the sweep profile. Enter.
- Three surfaces will be created.
- Select the three surfaces and join together using the 'Combine' tool.
- One Solid created.
- Delete the curves.
There are a few things to watch out for: