Perna, are you using Marius's Radial Symmetry modifier or are you doing radial symmetry manaully, or perhaps with a custom system of wired parameters and attribute holders?
I'd prolly just use a helix, then add a sweep modifier to it. Select a custom shape that got nice supporting edges, and angle it slightly in the sweep settings.
There's something messed up with your extrude default options or something, dude. It shouldn't be behaving that way. It should be doing basically what a shell modifier does.