Hehe, everyone's probably had to endure such minor building disasters.
Sometimes (and more frustratingly) it's also the result of an overzealous attempt to 'put the last shine' on an already decent part which then gets messed up beyond recognition.

If you have problems with the wood cracking, here's a trick I've found works. Soak it for a few min and then with an iron on low heat carefully iron it around a gentle bend (glass bottle or similar) gradually progressing to smaller bends as required. Once dry balsa will tend to retain the curve...at least long enough for you to glue it.

I'd still try the template method as even dry wood is less likely to splinter when wrapped around a 'solid' core.

Another option that just came to mind is this: considering that the finish is completely opaque and you don't want to build museum scale, you could simply make the entire rudder out of sheet balsa and glue ribs and frame pieces on either side....once covered and painted it would be virtually indistiguishable from the 'real' thing.