If you're using 4-40 rods, the Z bender you mention (same one I use) will make a Z bend that's too short for the servo arm thickenss. You can still use this tool, however. Make the bend and insert the rod in the servo arm. Look at the angle the rod sits in the servo arm with the other end free. Bend the rod so it's level with the arm, about 1" from the end. I've done that a lot, and it works well.

Dr.1