Foxy,
G code is line logigal. If you put X, Y, Z values on one G0 line Mach will execute them all at the same time. To do what you want, you need to do G01 Z (Value) F (Value) This will feed Z into the material, then on the next line G01 X (Value) Y(Value) F (Value), this will cut from your starting point to the new X,Y.
Ask again in the Mach General Discussion forum if this isn't clear.
Ian