1. Making rounded corners is EASY in Illustrator. Of course you can make rounded shapes in Illustrator but you can convert line path to rounded corners as well.
2. Make your path or line, and then just go to EFFECT > STYLIZE > ROUND CORNERS.
3. Set the radius of your choice, then hit OK.
4. You can go to the STROKE tab and change the stroke weight. I also like to round off the edges sometimes by hitting the middle button on the top right hand side.