You can import models created in Blender, FreeCAD, etc. saved in STL, PLY, OBJ, … format. If you need to represent finer details in your segmentation then adjust your segmentation’s geometry (use oversampling factor > 1.0 and enable isotropic spacing).
You can create simple models (sphere, cylinder, box, etc.) in Slicer using “Create models” module in SlicerIGT extension.
You can also create box or cylinder using Scissors effect in Segment Editor module (choose shape: Circle or Rectangle). If you paint in slice view, then you can paint only behind, in front of, or centered on a slice view.