You can loft a square (Or a rounded square which is really what you show here) to a circle and then back to another rounded square or any other shape you want. Downside is the resulting geometry is truly ugly usually.
I prefer to start with a box 8x8x8 (so it has 32 verts on the outside of each side) then create a cylinder of the right size with 32 sides. Position them as you like 1 above the other. Covert to editable polys and attach them to create a single editable poly. Delete the opposing faces you which to join and select each border and bridge. They should be joined with reasonable geometry because of the same number of verts on th each border, but you will have to chamfer some of the edges of the box part of the shape and tweak from there. Hope it helps.
