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You shouldn't need to do anything with it. The changes in the zones won't be enough to make a difference that you would notice without having something there to measure. It only shows you basic directions, not direction heading in degrees. but if you insist on being that specific, you could alwyas get a handheld GPS. Then you would know for sure.
Just make sure you have a compass with the needle pointing NORTH.
I saw one the other day that was made in china with the needle pointing south.....really. I pointed it out to the girl at the counter and she just didn't get.
Depending on where you are coming from, it will be inaccurate by a few degrees. Not that it is such a big deal since the compass only displays 8 directions. If you were coming from seattle to miami it might be as much as 25 degrees difference. Still not a huge deal when considering the accuracy of the compass to begin with.
If you have the owners manual there are directions on how to calibrate the compass, but it may make people think you are nuts as it requires you to drive in circles in an open area.