Loft
Select the first section sketch, then click the following sections in the tree (at least two are needed) and press Enter.

The body passes through all sections in order: an adapter from round to square, a blade, a streamlined housing.
The order of the sections is the shape
Sections are joined in the order they were picked. Mix the order up and you get a twisted body. The order is visible in the tree, and editing reads the same order.
Sections on different planes
Usually each section lies on its own plane, and the planes are spaced apart by datums. That makes the distance between sections parametric: move the datum and the adapter stretches.
A hint
The closer the sections are in the number and placement of their corners, the smoother the transition. A circle and a square stitch well; a circle and a star — as luck has it.
Solid or surface
The top bar chooses what the result should be: a separate body, a cut/join/intersection with the active body — or a surface. A surface differs from a solid by exactly the caps on the end sections: the skin is there, the volume is not.
This is how a flange, a hood or a transition between two skins is made. Such a surface becomes a solid later — by thickening or by stitching it to neighbouring sheets.