I am trying to model members with varying cross section. How can I do that ?

Case 1 
If the sections are tapered wide flanges or tubes ( circular/square/other polygonal shapes), you can model the beam/column as a single member and assign a Tapered I or Tapered Tube property. Go to the General > Property page and choose either of these two options shown below
 

Case 2
In case of other types of cross section, you can split the beam/column into multiple segments and assign the General Section property to each segment ( also marked in the above picture ). For General Sections, you need to calculate the property for each segment and assign these properties appropriately.