Center your fairing along the centerline of the screen and ust the line drawing tool. Then using the [build] tab, select [lathe] from the drop down menu. Lathe along the long axis... Remember to input how many sides (24 for me seems to work nicely), and if you want the ends open or closed.
One of the guys here on the forum is working on a Falcon9, he had his fairing pictured on his blog, another Orbitnaut mentioned the "Shell" tool to beef up the appearance of the fairing. Using point-select (I think) the button looks like a "U" laying on it's side.
Do a search on the 'hanger for AR81's tutorial on modelling a rocket. It's what helped me get started.
And if you have any questions, ask away, I'll be happy to assist.