You are right when you say that $y^2 + z^2 \leq (f(x))^2$ resembles the equation of a circle, because it really is.
Notice how $(x, y, z) \in [a, b] \times \Bbb{R}$ means that $x$ goes from $a$ to $b$ and notice that in the expression $y^2 + z^2 \leq (f(x))^2$, $x$ only appears on the right side. That means $x$ will be setting the radius of a circle, when $x$ is fixed, through $f(x)$.
To picture the resulting solid, imagine you are in a fixed $x$ coordinate, somewhere between $a$ and $b$. Call it $x_0$ and let $r_0 = f(x_0)$. Then, at $x_0$, we have $y^2 + z^2 \leq r_0^2$ and thus we have a circle, perpendicular to the $x$-axis, which has radius $r_0$. If you walk just a little bit more further along the $x$-axis, changing $x$ to $x_1$, we now have a new $r_1 = f(x_1)$ and at $x_1$ you have a new circle perpendicular to the $x$-axis with radius $x_1$. And so on and so forth.
That means your solid, when cut perpendicularly to the $x$-axis, is just a circle. When you make $x$ go from $a$ to $b$, you create solid that is built around the $x$-axis and that has circular sections, when cut perpendicular to the $x$-axis.
I used Mathematica to draw 4 such $K$, with $x \in [1, 4]$:
$f(x) = 5$:

$f(x) = 2x$:

$f(x) = 2(x^2 - 3)$:

and $f(x) = |20\sin(x)| + 2$, this one with $x \in [1, 40]$:

so you can pretty much draw a wacky continuous line on the $xOz$ plane (or the $xOy$ plane) and then rotate it around the $x$-axis, filling in the interior.