I have a plan for this (and I too have a rocet idea that's not a round cylinder!)
Let's see how well I can explain in words..
1) you need a central tube. I see mine being the MMT tube. Make it the length you need, or ideally, the length of the rocket itself..
2) you need 'formers' for the intended shape. Basically, centering rings, but cut to the profile of the shape you want. In your case, cut round CRs to your desired oval / obround shape. Ensure the central hole remains concentric to the long & short axis. make a few of these!
3) notch these rings at the 4 quadrant points. the notch should be 1/8" x 1/8" (or larger, I'll explain later) So, each modified CR has 4 notches, each at 90° to each other. (depending on the size, you might want 6 or 8 notches per former.. again, I'll explain later)
4) slip the modified CRs onto the tube. Ensure they are perpendicular & square, and most importantly, that they line up with each other. Now, depending on the length, size, etc.. you want, you might need 2, 3, 4, 16 CRs... (Ok, 16 might be excessive!)
5) Insert a 'stringer' in each of the notches. Insert a 1/8" x 1/8" square balsa stick in each of the notches, so you have 4 stringers running the length of the tube / CR assembly. This is were, depending on the size, you might want to use a larger notch (or just more stringers). Say, to fit a 3/16 x 1/2" balsa stingers.. the top of the stringer should be flush with the edge of the CR.
6) starting on one of the stingers, at the middle of the stringer, wrap a piece of stiff card / paper around the CR / stringer frame assembly and cut / trim when you go once around (meet the starting edge). Glue this to the stringers & CRs..
7) you should have your desired shaped 'body' Framed & papered over..
Now, depending on how strong you want it, you can add more CRs & Stingers to the assembly. You're essentially creating a framed up structure and sheeting it. All the strength is really in the original tube you started with.
You can even use sheet balsa or thin ply wood for added strength instead of paper. you can get 3-ply 1/64" ply, but 1/32" is probably better!
You can alter the CRs to be hexagon, or triangular or some other weird shape...
hope that helps..