Wattage Rating for these Zeners
Further down the page on the Death of Zen (DoZ) - A New Class-A Power Amp page there's a section on calculating the Zener power requirements:


  \$I_{z} = \frac{P_{z}} V_{z} \$ where \$I_{z}\$ is zener current, \$P_{z}\$ is the power rating, and \$V_{z}\$ is the zener voltage. 
  Small zeners are typically rated at 400mW and 1W. A 33V 400mW zener therefore has a maximum current of 12mA. Allowing for a resistor voltage drop of 5 to 7 volts means that the zener current will be 5 to 7 mA (1V across 1k gives 1mA). Since it is recommended that zeners be operated at between 5% and 80% of the maximum rated current, this fits very nicely into our requirements. 


Plugging in the numbers for your 500mW 12V Zener results in a maximum current of 42mA. That's around 15% of the current above and fits well within the 5 to 80% that Rod recommends so your selection is fine. 

Those calculations are assuming an input voltage of around 30V, for the maximum 35V input you'd have an 11V (35V - 24V) drop across the resistor increasing the current to 11mA so your selection would still be OK.