There is a thread on just that on the Cad_Cam @Yahoo group.
The consensus of it is that you set your Z as close as posible by eye or touch on a piece of scrap. Then you take a test cut and measure the depth. Then go back and readjust your settings.
I understand your frustration as the setup time far outweighs the actual machining time.
By the way, you have a very interesting website.