Well height, in a distance perspective view like ArcScene is somewhat false.
You can't actually insert grids / graticules into ArcScene like you can do in the normal top down, planimetric view of ArcMap.
What I have done in the past is to create a grid of polylines and use that to provide a visual reference.
If you don't know how to use python to create features on a regular grid, see the Create Fishnet tool,
Then you could use this set at various heights to give you the visual reference you require.