i got the sensor from autozone as well, heres how i set it:
1. install the sensor with the set screw failr loose
2. rotate the engine until one of the three interrupter rings is in between the plastic part of the sensor.
3. rip off two small pieces of the box the sensor came in and put the betwen the sensor and the interrupter ring (on both sides)
4. tighten the set screw.
after this i rotated the engine a few times to make sure it wasnt touching, it should e fine if you followed this procedure.
there is a cheap setting tool you cna buy at NAPA, but the box works just the same, as does the end of a match book.
good luck!