I don't know what "case" headspace gauge you ordered, but it's the RCBS Precision Mic, that's what I use as it's a good one.
Put a fired case in it then screw the measuring thimble down to where it just stops against the case shoulder. Note and record the reading on the thimble.
Put your full length sizing die in the press with the ram/shell holder all the way up and screw it down until it just touches the shell holder. Lock the die in place.
Clean, lube then full length size a fired case. Measure its case head space the same way as before. Adjust the die height in the press such that fired case headspace is about 2 thousandths shorter than fired case head space.
The instructions that come with the guage should pretty much say what I did above.