A metal forming jig is nice, but you will find that a piece of 4X4 or 2X4, shaped on the grinder to the desired shape, will work equally well.....and shape much easier. Work the guard around it in slow bends, using a nylon or wooden mallet ( a big nylon mallet is cheap at HF). Other choices are regular forging hammer with a clean face, or a brass/copper/lead/rawhide mallet.
Use any wood available, but oak is super if you have some around. A pressure treated piece of scrap from the neighbors deck project will work well,too.
Clamp the wood in the vise, and work slowly. Anneal the metal first, and as needed again while working it. On tight bends, heat it to red with a torch, and bend it on a piece of 1" round pipe ( or whatever size curve is needed) to get a smooth curve.
Sand the D-guard with as much attention as the blade...people will look at it as much as the bevels.
Some other tips:
Use a thicker piece of stock that the desired final guard will be. This allows for several things-
1) filing and sanding.
2) shaping to a slightly domed cross section.
3) tapering the guard toward the ends, making the center thicker.
4) make it wider in the knuckle area than at the bends. (like Greg has drawn)
A flat piece of steel bent into a "U" and stuck on a knife looks really cheap.
Harvey Dean's "Making the D-guard Bowie"video has excellent details on this subject.
Final tip that applies to many knives, guards in general, and especially D-guards:
Don't over embellish the guard or knife. Simple is good sometimes. Think of it as a naked lady...it is the curves that make her attractive, not the jewelry she is wearing.
