I suggest you start off with a surface free form. Then project a surface from the profile to intersect. Once trimmed and closed, you can solidify the feature.
You can also use sweeps, sweep blends, boundary blend, etc. if you need more control.
If you want to maintain a constant thickness along the edges, you have a bit more work to do.
We need a "blow up balloon" feature 
I guess that all depends on what you consider left and right 
If all you want is a curve cut straight through the part, you start with a 4mm thick part and extrude a curved section to be 2mm and 3mm as you describe.
I was thinking a "bulge" in the center. That is a bit more work.
Here is what I was thinking... not completely happy with it, but it worked.
attached is a Creo 2.0 file
Ian, the surface freeform works very much the same. I was challenging myself to maintain all the edges at the same thickness. This makes for a much more complex feature. And that complexity also translates to result.
I find that the warp feature still lacks a lot to be desired.
Does WF 5 even have Warp?
I like the second method much better. Controlled surfaces. I tried the VSS around the end rounds and I couldn't get it to do it as nice as the boundary blend.
This is all about style. What is the ID visualizing. This all helps to make the decision of how to tackle any one of these problems. In this case, i don't even know what it is, much less know what the intent is 
Again, it is all about what you are truly envisioning. A lot of times, the edge "thickness' is a huge deal specially if it has to match up with a flat object or other curved surface. Of cource, shapes such as the convolutions really have a huge impact on the surface.
With the boundary blend, I used tangent to tame the inverse. Not following the convolutes minimized the edge distortion, but as an inlay, it will stand out like a sore thumb.
