The gradient blend was really the work of moments. I used the Pencil tool to draw two wavy lines (I double-clicked to bring up the settings so I could have a smooth wave with no jagged bits).
Select them both then go to Options>Blend. For some reason, the Blend options comes in two parts – why can’t the developers combine the Blend Options (plus preview) with Blend>Make to create a single dialog?).
Go to Blend Options and select Colours or Steps. I selected Steps and entered 12 or so. Then go to Options>Blend>Make to see the effect. It gets easier after this initial stage. You can then go to Blend>Options and tweak the number of steps and see it applied to your work.
I also used the Direct Selection tool to select the two ends of the lines and aligned them to be both horizontally and vertically centred so they would taper. You can also pinch in other sections of the blend if you want to tweak the design.
I also applied a gradient to the blend – Object>Expand Appearance then select and apply a gradient.