Since DemandTools allows you to use excel files as input files in MassEffect, you never have to lose a leading zero for New England zip codes again.
By formatting the zip code column in your spreadsheet as "Text" you will retain the leading zero.
Now, the field will be read as a straight text field and the data will be entered as is (vs. being interpreted as a number which will strip the leading zero).
Already have records in Salesforce that are missing the leading zero? Use the custom formula ZipCodeClean in MassImpact to restore the leading zero!