I'm pretty happy with my X and Y axis's precision/accuracy.

I’m pretty happy with my X and Y axis’s precision/accuracy. If I tell it to go 400mm, it goes 400mm exactly, best that I can measure. However, my Z axis is uncalibrated still; if I caliper some material at say .25", I have to put around .28" or .29" as toolpaths max depth to cut through. Any good techniques to calibrate Z axis? I have tried with a caliper, but it’s pretty hard to measure accurately, and for such a small distance the measurement has to be decent.

For calibrating Z consider using a 1 inch dial indicator. A cheap $20-30 one should be fine for hobby work.

Yeah that’s a handy tool to have, can use it for all your axis’. Also nice for checking for high or low spots on spoil board