At the risk of stealing Dave's thunder here (and that's not my intention, honest!), this is how I would go about it. I've not tried it, so this may be claptrap, but we'll see if it's the same approach as Dave would take, or maybe there is more than one way to skin this particular cat.
First I'd make a plain column.
I'd make the base circle segment count a multiple of the number of flutes I plan to route, so for 6 flutes the default 24 would be fine. Make the cylinder, select just the top face and scale that down, using the Ctrl key to scale it around the centre rather than the opposite side.
Next, we have to make a positive version of the flute. In a separate area of the model, draw a long thin rectangle and draw a half-round on each end. Remove the ends of the rectangle so that we have the flat profile of a sausage. Draw a centre line down the middle of the profile - we can use this later for positioning.
Draw a semi-circle perpendicular to the lot.
Using the Follow Me tool, spin the profile through 180 deg, using that semicircle as the path, to create a 3D sausage. Delete the semi-circle.
Incidentally, I can see there being problems here, so if you get any unexpected results, simply scale the whole thing up by 100x, and then scale the end result down again.
OK, we have a sausage with a line down the middle. We are going to use this to remove timber to make the flutes.
Make the sausage into a component.
On the cylinder, draw a line from one segment junction on the base to the corresponding point on the top circle. This line must be flat on the cylinder - if you get it offset, even by one segment, it will not lie on the surface. We will position the sausage on this line.
Drag and rotate the sausage, using its centre line, until it is in position on the line on our cylinder. Copy it around the cylinder.
Select everything and do an Intersect With Model.
Erase the sausages and the cut surfaces of the cylinder.
I think that's the job done.
Now I'll be very interested to see if Dave tackles it the same way or whether he has another approach. Either way, I certainly think it will make a smashing tutorial.
S