See photo (hand drawn, as to illustrate the easy-to-miss curved side detail):
Just match up the curved side on both the male cable & female socket & you're good. You'll be able to tell right away once you have them plugged in properly, because they'll seat deeply.
Also, if you look at the make cable jack from the side, you'll see that 1 side has a notch that is taller than the other. This also needs to be accounted for when inserting it properly. If you inset them swapped (R on L and L on R), then the cable will not plug in fully (even though you might have the curved parts lined up).
I hope that makes sense. It is really unfortunate that they had to make it so difficult. The ZST is even worse, because the shells aren't even marked right or left (whereas at least they say right and left on the ZS3).
Also, if you have a chance you may consider doing my foam mod. It's very simple to do, & greatly improves the sound of the ZS3. You can read about it here:
http://www.aproear.co.uk/kz-zs3-slater-mod/