Create a long, thin, rectangular bezier shape with 3 (or more) points added to each side (though ensure you have the same number on each). Shift each pair of points so that you have a zig-zagging shape, then command click-drag each point to expose the bezier handles and get a curve. Duplicate the curved shape and invert its horizontal axis (optional, you can just duplicate it and shift it down a bit relative to the original if you want). Get rid of the stroke (unfortunately, it isn't possible to interleave the shapes so that one strand goes over the other then under at the next crossing). Overlay the two shapes (note, I squeezed the shapes at one stage by grouping them, making the vertical dimension smaller, then ungrouping them, thus making both more compact and DNA like in dimensions):
HTH