As this machine is 5 axis, I can't really just zero the Z again, it's gotta be the same. However, I can do the multiple collet's and set up tools. For this though, can't the bit slide in the collet till you tighten it onto the machine? How is that locked into place?
Also, do you need two collets, and two collet nuts? Or can you slip one collet out an the other in, without disrupting the spacing.
Barry