How Do I set up Power Auras to show that I have 3 stacks of Holy Power ?

When setting up your power aura, the activation is by Rage/Energy/Power, and then the Power Type is Holy Power. The threshold should be set at 3 if you want to see when you have all 3 charges of holy power.

You mentioned Power Aura, but you might want to also consider the Hear Kitty addon that gives you audio cues for Holy Power procs. It was originally designed for rogues/feral kitties but it now support pallies as well as enhancement shaman (maelstrom weapon charges).