England's women took silver four years ago but went into the Melbourne event with a squad that had a mixed levels of experience and included five under-21s.
The side, who are ranked ninth in the world, clinched the bronze by beating New Zealand on penalties.
The core of the England squad will now aim to guide Great Britain to the 2008 Olympics after the team failed to qualify for Athens.
But Lee insists the players must improve in key areas if they are to build on their Commonwealth success.
"The difference between us and the best teams in the world is the lack of physical strength and our ability to finish off chances," Lee said.
"We will work on getting stronger but our main target for now is to chip away at a world ranking place each year."
England's men also fielded an inexperienced side in Australia but one full of rising stars such as Barry Middleton and Simon Mantell.
The team were not expected to reach the semi-finals but their fourth-place finish was an improvement on Manchester where they were fifth.
"This is a young team but we are improving," said England captain Brett Garrard. "The future of hockey is looking better.
"We want to continue this unity across 25 players and if we stick together from here on in we can build something."
Middleton added: "This has given us belief that we can compete with teams here and go with on and win medals at the Olympics as part of the British team.
"The main aim is qualifying for the 2008 Olympics but this has set us on the way."
Both teams now begin their qualifying campaigns for the World Cup where they will again compete as England later this year.
The men's World Cup begins in Germany on 6 September while the women's event follows in Madrid on 27 September.