To complete the construction of segment \( \overline{CD} \) as a copy of segment \( \overline{AB} \), the last step that Wei would have done is to use a compass to measure the length of segment \( \overline{AB} \) and then transfer that measurement to segment \( \overline{CD} \).
Therefore, the correct response is:
Using a compass, he measured the length from point \( A \) to point \( B \).