If the literal instructions are confusing try watching the YouTube movie:http://www.youtube.com/watch?v=6drMZqmyXQc Also check out the follow up instructions on Stepper Motor Control: Easy Mill Stepper Motor Controller
Again we are going to reproduce the X and Y Stage to create the Z axis stage. Take a flat piece, here I used a piece of white Plexiglas. Mount some rails and a Motor to it. Then make a moving stage piece with a u channel and a roller bearing. We'll do something a little different with the nut(see picture). The four posts you see on the stage will hold the motor tool. Now since this stage is going to move up and down the weight of the motor tool will make it want to come off of the rails so lets add a few more roller bearings to each side to keep it together.