How to change CNC endmill without loosing Z zero?

I want to eventually do cnc cutting with multiple endmills.

Problem is I wont know where zero is for the work in progress. It’s easy to estimate zero at the start and it works okay for cutting. But to continue work in the middle of a job, an estimate wont do. It has to match.

Any ideas?

Few days later: Looks like there is something in Mach 3.