Semantic Embedding Model (SEM), a neural network-based Siamese architecture, is gaining momentum in information retrieval and natural language processing. In order to train SEM in a supervised fashion for Web search, the search engine query log is typically utilized to automatically formulate pairwise judgments as training data. Despite the growing application of semantic embeddings in the search engine industry, little work has been done on formulating effective pairwise judgments for training SEM. In this paper, we make the first in-depth investigation of a wide range of strategies for generating pairwise judgments for SEM. An interesting (perhaps surprising) discovery reveals that the conventional pairwise judgment formulation strategy wildly used in the field of pairwise Learning-to-Rank (LTR) is not necessarily effective for training SEM. Through a large-scale empirical study based on query logs and click-through activities from a major commercial search engine, we demonstrate the effective strategies for SEM and highlight the advantages of a hybrid heuristic (i.e., Clicked > Non-Clicked) in comparison to the atomic heuristics (e.g., Clicked > Skipped) in LTR. We conclude with best practices for training SEM and offer promising insights for future research.