@ Jay,

I did that as well, but it never worked properly for me, sometimes it doesn't include the zpass at all when looking in fcheck sometimes it tells me files are corrupt etc.
with this method you can have a .jpg . png .tga or whatever you want and you can preview in the render view. I think that makes up for the little hassle of creating a render layer.
I never understood why ticking the zpass in render globals didn't work for me, maybe there's something wrong with my setup..