Just a quick update to specify that these rotations are quite easily made using MicroStation (even SE version).
The easiest way to digitize smoothed lines in ArcScene is to first create them in ArcMap, all along the same straight XY line (in any given direction). This is like using ArcMap with a XZ or YZ instead of a XY plane. After exporting in .dxf format both the XY line and the digitized polylines, rotations can be made in MicroStation using the "rotate" tool and orthogonal lines drawn inside MS. Then, you can import the tilted lines, in .dgn format, in ArcScene.
If anyone has better options to digitize smooth lines in 3D, please help me as this the only way I've found. While it is relatively easy, it is still time consuming and I would like a way to do this directly in 3D Analyst...
Thanks,
Christian