If you put them in as default (no attributes set) they snap to terrain. Older DF games you needed waypoint Z follow AI text file but AFAIK not in DFX.
Open item attributes for the waypoint. Select absolute (tick) to stay at strict height or leave blank (no tick) to follow terrain at the set height.
Z 230 in this example is (230 meters) I think 60-80 M is generally enough and 260m is max.
