Create the smooth surface that represents the wave. This can be done by hand in Rhino, or maybe it is a function in the form f(x,y) = z, or maybe it is done via attractors, or..... it's really up to you how you want to define that wave.
Slice or Contour the wave surface at regular intervals with vertical planes.
Convert the slices into closed surfaces, then extrude them with the material thickness.
Cut holes into the slices where the supporting structure is supposed to connect, this too is an implementation detail you have to decide for yourself.