Hearthpwn

For starters, you need to know what options are available to you based on the mana you'll have remaining after playing Z. Fortunately, he only pulls from basic/classic set. This means you're not forced to be up to date on standard/wild cards so you have a fixed pool to predict possible choices from.

All that said, he also offers options based on your board state as well as the opponent's board state, and even though he offers something that will help you achieve your goal at the time (lethal, board clear, whatever) sometimes those options aren't as readily obvious as one would hope. That's pure player sense and flexibility which cannot be outright taught as it comes with playing enough games.

Theres a huge variety to how to play Z, and when to hold on to him in a mulligan hand vs not. Your deck and its win condition, as well as your opponents class and their win condition, really dictates how you make these type of choices. Again, game sense and meta knowledge is huge here.

If this wasnt clear or straightforward then that's appropriate, because although Zephrys can be a cold play for fireball/pyroblast lethal etc, hes got a HUGE potential ceiling for when you're not gifted your win condition on a silver platter. Best of luck!