Most likely, you aren't simply interested in creating terrain for its own sake - you need to get your terrain from World Machine into your other applications. Here's a list of workflows, both generic and specific, to help you along.
Choose your Workflow
|(Generic) 3D Rendering Software||(Generic) Game Map Creation|
|Terragen 2||Vue||Unreal Engine||Crytek Engine|
... and more specific workflows to come!