We review the current high-significance X-ray detections of Warm-Hot Intergalactic Medium (WHIM) filaments at z>0 along the lines of sight to the two blazars Mrk 421 (z=0.03) and 1ES 1028+511 (z=0.361). For these WHIM filaments, we derive ionization corrections and, when possible, metallicity estimates. This allows us to obtain refined estimates of the number density of O VII WHIM systems down to the O VII column density sensitivity of our observations, and most importantly, a measurement of the cosmological mass density Omega_b^{WHIM} in the WHIM, at redshift z<0.361. These estimates agree well with model predictions and with the total estimated amount of missing baryons in the local Universe, although errors are large, due to the still limited number of systems. We conclude discussing future observational strategies and mission designs for WHIM studies.