I am having trouble connecting a simple wireframe to a solid in a simple manner, and I don't understand why Solidworks is making it so complicated. I have made two 2d sketches on different planes and a 3d sketch that connects the dots in between, thinking I would use a loft, however, the loft won't play nice, so I looked into the boundary as it should be the right thing for me, but I can't make it do as I want. It should be as easy as filling in the dots in straight lines.

What is the best way to draw this?