You have been reading the wrong stuff.
Here is the sequence I use (Most times):
Push HAND JOG
Now you should see either TOOL OFFSET screen or the WORK ZERO OFFSET screen. You can toggle between the two by pushing OFFSET.
Make sure there is no entry in the Z column of the WORK ZERO OFFSET screen.
Toggle back to the TOOL OFFSET screen.
Bring your first tool down to the part using the paper feeler gauge method.
Check that the cursor is on the line for the tool you are touching off.
Push TOOL OFSET MESUR. If you look at the bottom of the screen you will see Z POSITION, the value here will transfer to the line the cursor is on.
Push NEXT TOOL. The machine will change to the next tool and at the same time set the Jog Handle speed back to .01.
(If you push any key between TOOL OFSET MESUR and NEXT TOOL the tool change does not happen.)
There are variations on this method if you are using a toolsetter or a reference surface but this will get you going. Ignore anyone who rants on about a more complicated method until you has this procedure down pat.