You need the current through the zener diode, you already know the voltage (it's the voltage of the zener). Yes, P=VI is the correct formula.
I'm not sure what circuit you're refering to with the zener?, is it one you've already posted?.
Does it mean that all I have to do is to measure the current drawn by the load, say approximately 5mA. Then, I multiply with the 15V. From here, I obtain 75mW. Does this mean that I should purchase one with 15V and closest higher power?
Yup, it is the same circuit I posted earlier. Mind to comment? Thanks.