If the leveling holes in the feet are threaded, just use the jack screw the lift the lathe a bit. Jack, shim, jack, shim, rinse, repeat. Work from side to side on one end at a time to keep the lathe level, so there is no danger of tipping. Once you get it up a bit, you can slide a shim under the bolt to keep it from digging in.
My favorite feet are 1/2 inch steel plate about 3 inches square, drill a divot in the center for the jack screw. It keeps the screws from digging into the concrete. I have heard that hockey pucks work, as do the commercially available machinery pads, check Enco for those.