Dan
Each layer should be set to the correct height (z height) before drawings anything. This is done in the layers setup dialogue. It is simpler this way because if you draw things without assigning a height then you will have to manually "move" them to the correct height later.
To link the layers together for 3d viewing you should be on the "blank" model layer you have just created. Then choose "view" "create layer link", select the layers you wish to view, (don't check the show 2d option) and hey presto, there are the layers in all their 3d glory! - hopefully if all set up correctly!
Cheers
BG
PS Assigning layer heights after you have already drawn items, will not change the height of these items. It will only affect subsequent items drawn.