You need points to start with, before you can create a 3D spline. It's not different than the example that you stated.
Before I go deeply over the edge, I'm predicating this example on the assumption that you are truly using the "spline" command, and not the 3D curve function in FreeStyle.
3D splines are created simply by selecting points. You can multi-select points to be used in a spline, either in the tree, or with a window, or you can pick them one by one. You can also impose tangency and continuity constraints. You need to be aware, however, that the spline will be constructed in the order that the points were created. So, you have to be a little clever in how you generate the points. If you are using the points to maintain history, for any reason, it's worth the time to PUT the points in order.
One of the VERY BEST ways to put points into a document with history, is to use design tables, and/or the "GSD point loft spline from excel" function that came with the help docs in versions up to R11. It is available in a modified version on several forums, to account for those of us who either have HD2 license, or for the change in the "OpenBody" label.
Hope that helps. If not, feel free to try again.