A simplified answer is to bring the part up relatively close to the tool with the table. Set the tool Z to zero on the part surface where the pocket will go by moving the spindle quill down. After creating the pocket program, the machine will prompt you to manually lower the tool to the Z setting by watching the Z depth on the monitor. If the pocket was programed in steps the machine will prompt for each new Z depth before proceeding.
Similarly, when drilling holes the machine will move to the XY coordinates and prompt "Drill hole here" or some such.
This is just from memory as I have added a Z just after purchase.