i'm learning normal mapping too though i have Z i don't use it because it's complicated for me. bad excuse i know

my workflow [if I used Z like you did]

make simple block mesh in 3d program
export as obj and open in Z
make high poly
export high poly to obj and open in 3d program
break down high poly to make the low poly OR MAKE a mesh very similar to the low
unwrap low
bake high to low using xnormal, nDo2, etc
apply normal to low and preview in high quality renderer
using low unwrap, texture it in photoshop
apply texture to model

good to go i think