I do all my range work past the initial 25 yard zero on max magnification. The more precisely you can aim while sighting in, the smaller and more consistent the groups should be, and the easier it is to make accurate adjustments. When doing the very first sight in for a new rifle and/or scope, I shoot at 25 yards first to avoid wasting ammo on misses at 100 if the boresighting job is way off (I use the "eyeball" method to boresight, and with bigger bores I have been known to be off enough to not hit a large pizza box at 100 yards). Anyway, if you are worried about the zero changing with magnification then, if for no other reason that as a confidence exercise, after doing your zeroing at max power, shoot one more group at your preferred hunting magnification to verify zero. I have yet to have a scope that shifted the POI more than 1" at 100 yards from min to max magnification, and that was a $50 Simmons. My Nikon, Bushnells and most definitely my Zeiss are dead on through the entire range.
As for hunting magnification, it's a matter of personal preference, really. I adjust mine to the terrain I'm hunting. If I'm in the woods, I'll set it at the minimum, which for the scopes I have on my hunting rifles ranges from 3x to 4.5x. If I'm sitting covering a field where shots will likely be longer, I'll set the scope to 5-6x. If an animal steps out far enough away for me to feel I can benefit from higher magnification than 6x, I figure that it's far enough away that I'll be able to turn up the power without being busted. I've shot all but two deer at max power after turning up the mag. Both deer were less than 30 yards away so I had no need for more than 3x.
Mike