There isn't much in terms of primary evidence that sheds light on this question, as Jefferson Davis, et al were wholly focused on the issue of winning the war, and didn't have much time, or the luxury of fantasy, to plan about what came after. Based on the speeches, declarations, and the Constitution of the Confederate States, we know that they intended to perpetuate the institution of slavery, yet otherwise appeared happy to set their government up as a mirror to the basic framework of the U.S. Constitution and Bill of Rights.

Like any new nation of that era, they would have almost certainly looked to open up diplomatic and trade relations with England and France (the Confederates had diplomats in each country working diligently to gain foreign recognition throughout the first half of the war). Beyond this, as it concerns plans for expansion into Mexico, I've never read anything that gives any substantial hint at what the Confederate government might hope to accomplish. (To speculate might veer into a History-What-If situation, which this sub generally frowns upon). I can say that any Confederate victory would have produced a begrudging, spiteful neighbor in the U.S., so any attempts to expand into neighboring territory would have likely put them in a nasty bind (Mexico, for example, offering to buddy up with the U.S. to beat the Confederates in exchange for Texas, with the U.S. getting everything else). Again, that's pure speculation, but can you imagine how tough it would have been for the C.S.A. to prosecute any war with the U.S. drooling at an opportunity to see their neighbor and foe weakened and distracted by another conflict? Like many things about the Confederacy, it wasn't an especially well thought-through consideration. [I hesitate to cite anything since I didn't provide a lot in terms of a definitive answer - feel free to follow up if you have any questions about reading suggestions on other related topics]