Yes, you can do it by adding some lines of G-code in the M5 marco or whatever macro you use to turn off your torch. I doo this in Mach3 some time before and I think it works too in Mach4.
Simply add a g-code line to tell Z rise some units, for example 100mm or whatever you want. You can create a new DRO for this propuse too for make quick changes on the fly.
Hope this helps.