For baking with the ledger, what should I set the high watermark? Should it be zero? I can't find any good explanation for what is watermark. Is it the current block level?
High watermark is the lowest block number that your ledger is allowed to sign bake or endorse operations. That means if the watermark is set to
100000, the ledger is disallowed to sign any block number
100000 or below. This is a mechanism to prevent double baking.
The ledger-app documentation states:
When updating the version of Tezos Baking you are using or if you are switching baking to a new ledger device, we recommend setting the HWM (high watermark) to the current head block level of the blockchain.
This will prevent you from double signing a previously bake or endorse operation which will lead to getting penalized. I recommend reading more details in the tezos ledger app documentation.