Governance is incoming everyone!
Ultimately, Threshold DAO will be powered by Governor Bravo https://blog.openzeppelin.com/governor-smart-contract/ but before those contracts are deployed the DAO will use Snapshot.
In order to participate in governance, you will need to select a delegate, which requires an on-chain transaction. You can self-delegate to your own address.
Delegation will soon be supported on the Threshold staking dashboard https://dashboard.threshold.network/overview/network, but for now you will need to interact with the contracts directly via Etherscan if you want to participate in the first several Snapshots.