How do I select a Warp as Terminal in Preferences?

The terminal emulator is not the shell. The terminal emulator is the GUI window manager that starts a command line shell for each Window, or if split windows are an option, for each sub-window. The terminal emulator arranges for keyboard input when a specific window has focus for keyboard input to go to that shell, or the program currently running under the shell (such as an editor). The terminal emulator GUI takes anything sent to standard output from a given window session and displays it in the window, handling scrolling, and text that has scrolled out of the window, etc... The terminal emulator handles terminal escape sequences and uses them to arrange text on the display, or change colors, etc...

Warp.app is not a shell. It is a Terminal emulator. Shells are things like zsh, bash, sh, ksh, csh, tcsh.

At most, you can change the terminal emulator GUI app that gets launched if you double click on a file that is associated with a terminal emulator.

Find those files, do a Finder -> File -> Get Info on one of the files, Change the "Open with" section so it specifies Warp.app, then tell it that this change applies to all files of this type.

NOTE: I do not use macOS Terminal as my default terminal emulator. I use iTerm2. I do not do anything special to make iTerm2 the default. I just have it in my Dock, and when I need a terminal emulator, I click on the iTerm2 icon in the Dock and launch it. Or Command-Space, and type iterm2 letting Spotlight launch iTerm2 for me. As it happens, I always have iTerm2 running, since I'm a Linux software developer and I work in multiple terminal emulator windows all day long, ssh connected to Linux hosted development systems.