First, we need to create a spline that will define the shape of pieces. So go to Create panel -> Shapes -> select Splines from the drop down menu -> and finally select Line. Then just click on along the grid to create the line like on the picture (turn on Snap to Grid to get a good line).

Now we need to convert our line in to an Editable Spline. To do that, select the newly created line and right click on it. Select the option Convert To -> Convert to Editable Spline. Then, in the Interpolation settings check the Adaptive option so we can get smooth curves.

Move around the vertices so they match the next picture.

Now, select all of the vertices and then right click on one of them and change their type to Smooth.

Select the vertices that are marked on the picture and change their type to Bezier.

And change the next vertices to Corner.

Next, select one of the Bezier vertices and you can notice that two green handles appear. Select the Move tool from the toolbar and elongate them.

Note: You should track how much you move the handles, so you can elongate the handles for the same amount at every vertex. You have 3 field at the bottom of the screen that show you how much you have moved/rotated/scaled the select object/sub-object for every axes.

Do this for the other 3 vertices.

Next, apply the Extrude modifier to the Spline with the Amount of 15. This converted our 2d spline into the 3d object.

Add the Edit Poly to the modifier stack and select the top polygon.

Now, we need to bevel the selected polygon, twice. First time with the settings Height: 2.5, Outline Amount: -1.0; and the second time with Height: 2.5, Outline Amount: -1.5.

You should get something like this: