Make sure you are in front view.
It's not required but if you are in another view you'll have to tell A:M what your orientation is via one of the manipulators (Rotate, Move, etc).
Most people just use the Front view.
Also, you'll want to move the spline 1 cursor key over to the side to prevent pinching at the top and bottom.
I'll see if I can put together a quick demo for you... stand by...
I thought I had a tutorial handy but don't see it at the moment.
Here is a writeup on advanced lathing methodologies:
http://www.hash.com/forums/index.php?showtopic=9103
A gif tutorial of lathing a sphere from Front View is rendering right now...