To determine the last step that Wei did to complete his construction of segment \( CD \) as a copy of segment \( AB \), we need to consider the process of copying a segment. The general steps include measuring the length of the given segment with a compass, and then using that measurement to construct an equivalent segment elsewhere.
The correct response is:
Using a compass, he measured the length from point A to point B.
This step would be necessary before constructing \( CD \) as a copy of \( AB \).