Looking at your image, I would suggest you start with the helical sweep then sketch the two legs on planes and connect with curves through points.  The legs can be sketched with the part in the assembly to follow the other parts.  You can use references from the assembly to make a sketch, but I prefer to delete the external references before finishing the sketch.

Here is what I usually follow for a helical curve:

HELICAL CURVE

1. Start curve from equation.
2. Select coordinate system.
3. Enter offset in “from” box
   • e.g. .25 + 90°
4. Enter number of turns + offset in “To” box.
   • e.g. 10 turns and .50 offset = 10.50
5. Create equation:
   • r=”radius of curve”
   • theta=t*360
   • z= “pitch”*t

* Offset can also be added to theta calculation in degrees.

A helical sweep or curve by equation as outlined below MAY or MAY NOT give the results you desire.  If you are ok with the condition of the legs tangent to the helix, then either method WILL work.  HOWEVER, if you are trying to get the legs perfectly normal to the axis of the helix, those methods will NOT work and you will have to use another method.