First, you have to obtain DCI configurator:

DataCollectionConfiguration dciConfig = session.openDataCollectionConfiguration(nodeId);

then, create new DCI:

final long id = dciConfig.createItem();

then, obtain newly created DCI object:

DataCollectionItem dci = dciConfig.findItem(id);

add threshold:

Threshold t = new Threshold();
t.setFunction(Threshold.F_LAST);  // or any other function
// and so on, set all required threshold attributes
dci.getThresholds().add(t);

save DCI:

dciConfig.modifyItem(dci);

and finally, close DCI configuration:

dciConfig.close();

Hope this helps!

Best regards,
Victor