It is actually pretty easy. This may seem a bit much, but I assure you, it is a breeze.
As John said, when making the O or P in Illustrator, they will need to made in to compound paths. This can be done 1 of 2 ways. Simply use the text tool to create your text, select the all the text, click on Type–>Create Outlines. Or, create your outlines using any way you prefer. For an O, you will find it easiest to create your circle using the circle tool and holding down the Shift key while you draw (–maintains uniformity). Once you reach the desired size, select the circle, copy is, and click Edit–>Paste in front. Now go to Object–>Transform and set your uniform scale to a desired setting (80% does a nice job). Now you have your circle. The next step will be to select the inner and outer circle, and when they are Both selected, go to Object–>Compound Path–>Make (or Command+8)
Zaxwerks recommends that you save your project as an Illustrator 8 legacy file. I have used 10 from time to time, but for best results, 8 is where it is at. When you import it in to Zax, I usually always select Open By Layers. (This will help you out in the future if you would like to change and reimport your Illustrator file with changes at a later time)
Now, if you would like to work some more on this circle in Zax, you can select the circle. Under the Object Tab, lower left, you will see 4 check boxes. By clicking each one individually, you can turn off certain faces (Such as the front of the cirle) or edges (such as the outer edge).
I hope this helps!
Tim
Tim