Hank, I would just screw the die into the press about half way or so. The important part is the compression stem. I would back the stem out and then just adjust it down until you get your powder charge compressed to the desired depth. The only reason to change the compression depth would be if you changed bullets. What I would do before you make any changes for a different bullet is take a measurement of the overall length of the die with the stem installed. Write that down so that you have a reference to go back to for each bullet you try. 
If you change calibers, all you need to change is the compression stem. With mine I have stems for 45, 40 and 38 calibers and one of these days I will get around to making one for a 44 cal. .
Hope this helps.
Sam