It is quite a tricky object to model. I did these glasses a while ago in rhino for some modeling practice. I thought about different ways to do it and decided to loft the entire oblect. The beauty of this method is that the mesh remains simple, which makes it easy to split, fillet and blend surfaces together.
You could do it that way too, my model is a very simple way to get quick results.
If I was to spend more time on my model I would extract the wireframe from my lofted shape and do some serious fine tuning work on the curves. This way you could really get in to the details of the cross sections.
optimistic, this was rendered in cinema 4d. the render engine is very good and very fast. simple set up with one area light and a spherical map - rendered in about 1 mins 30 sec