1. Draw your lines
2. Use the selection wand to select the lines.
3. Click on the Paths tab (should be in the same window as the Layers tab)
4. Click on the Make Paths button (should be on the bottom next the the new document button)
You will now have a vector path like in Illustrator, and if you want, you can export to an .ai file and adjust the fill/curves/whatever in Illustrator. If you want to use the paths to make clean lines in Photoshop, here's what you do:
1. Use the path selection tools to adjust the curves (you could skip this part and use the paths as is, but the conversion usually leaves something to be desired)
2. Making sure the path is selected, click on the Load Path as Selection button (down next to the Make Paths button)
3. Flood-fill the selection.