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How to get displacement maps from ZBrush 3.12 to Maya 2008/2009

This has been getting me quite a headache for a while, but I just can’t seem to get displacement maps to work in Maya.

I followed the workflow from this video: http://www.youtube.com/watch?v=dOrmlnIZrAM. I got this warning at render.

// Warning: (Mayatomr.Geometry) : DispTestHead_NG_Low:ZBrushPolyMesh3DShape: subdivision surface does not support separate displace approximation, ignored. Tune primary tessellation / approximation for displacement. //

I am using ZBrush 3.12, and Maya 2009 on OS X (Leopard).

Is there something I’m missing? Does someone know what this warning means and how I could fix it, or of a better workflow to get displacement mapping working?