Tips:
(1) If you have a choice, do not take one or two fives (unless you get a free roll out of it, or unless you can cash out with them). They're never worth it. Also, if you have to choose between three twos and a five, choose the five. This is pretty much the only time it's the better option.
(2) If you're holding only one die, roll the remaining five dice unless you have over 2850 points at stake.
(3) If you're holding two dice, roll the remaining four unless you have over 850 points at stake.
(4) If you're holding three, four, or five dice, cash out ASAP. Do not risk additional rolls.
(5) If your next Zilch would make three in a row, reduce these limits by 500 (2350 and 350)
With this strategy it is fairly easy to completely obliterate the AI at any level.
Additional Statistics:
Odds of Zilch with n dice:
6 - impossible, counts as a free roll
5 - about 1 in 12
4 - about 1 in 6
3 - about 1 in 4
2 - about 1 in 2
1 - 2 in 3 (exactly)
Expected total with n dice:
6 - about +467
5 - about +222
4 - about +137
3 - about +82
2 - about +57
1 - about +60