I know about groups like Knights of the Golden Circle from before secession, and I know that the Constitution of the CSA included provisions regarding future expansion, but I haven't seen much about post-secession.
Did Confederate leaders still plan to annex (or discuss annexation of) additional territory for the expansion of slavery? Were they too busy dealing with the Civil War to put much thought or effort into plans for future expansion? What, if anything, did they have to say on the subject?
None that I know of, however, Southerners before the war had long had pipe dreams of an America that would extend to Panama. All of these new territories would be slave states. More realistic were attempts to gain Cuba as a slave state. One southerner, Walker, established a slave country in Nicuragua by an invasion of the sons of Southern slavers. This regime was overthrown quickly. The Slavers tried to strong arm one of the weak antebellum presidents (Pierce or Buchanan, I forgot which) into forcing the "purchase" of Cuba via a secret document called the Ostend Manifesto. It would have worked too, if the document wasn't leaked to the public. The Northern states raised holy hell about a new slave state, and one that would be wrangled from another power at that (insert irony about the Spanish-American War here), and thus the Ostend Manifesto was dropped to maintain the peace.