About half the baryons in the local Universe could be in the form of a Warm Hot Intergalactic Medium (WHIM). If a large fraction of the gas is ionized, it could produce significant temperature anisotropies in the Cosmic Microwave Background (CMB), generated by the thermal and also the kinematic Sunyaev-Zeldovich effect. We have developed a theoretical framework to describe the mildly non-linear regime of the WHIM that allows us to compute its contribution to CMB anisotropies. We discuss prospective ways of detecting the WHIM contribution using our formalism and discuss our results on PLANCK data and the constraints we set on the WHIM parameters.