Z serves are very difficult serves to return. They cut across the court diagonally in front of the returner. This makes it difficult to time the return shot. A properly executed z-serve will land deep into a corner and near a sidewall, and because of the spin on the ball, will come out mostly parallel to the back wall.
Try hitting Z serves at various speeds and heights on the front wall.
After hitting a z serve, immediately move into center court position and watch the ball over your shoulder.