Thanks to modern technology, the use of a laser bore-sighting usually makes quick work of zeroing a rifle. Even the older bore sights are not bad and will get you on paper when properly used.
Most pros use a universal laser bore-sighting system that has arbor inserts ranging from .22-.50 caliber. They kind of look like a black thermometer and are about the same size as one. The thin end is detachable; that's the arbor component that varies by caliber insert. That end goes muzzle in.
They range in price from $25 to $100, and are produced by 5.11 Tactical, BlackHawk, Bushnell and LaserLyte.
The old method on bolt-action rifles also works well — remove the bolt and sight through the bore at a target at least 25 yards away, and then move the sights or reticle with a scope to that same point on the target works well also.
The last method of bench firing your rifle on a target and maintaining the position after firing is to have a friend adjust the scopes until you see the reticle lined up on the shot fired. This can work well.
In any case, sighting in on a target at 25 yards is much easier than attempting to sight in at a greater distance. Once sighted in at 25 yards, it will be easy to find your shots at 100 yards or greater and make the correct adjustments.
Editor's Note: Brian Ostro contributed to this post.