After you threshold in the SegmentEditor, you can enable the Show 3D to see a surface rendering of the segmentation. You can turn off the volume rendering in the VolumeRendering module to see the surface better. If you want to see a volume rendering that takes into account the segmentation, try the ColorizeVolume module.
If you are planning to make a finite element model, you may want to look at the SegmentMesher extension, although meshing tools outside of Slicer probably give better results for single-material meshes.