For the most part, pellets are too inexpensive for it to be worth the hassle. Contrasted against centerfire cartridges being so expensive, that is.
However if you aren’t acquainted with how to properly align a scope when installing it, a laser is useful for that. Start by centering the turrets on the scope, then mount it in the rings loosely enough that you can rotate it by hand. Now view the laser dot downrange through the scope. Twist the elevation turret until the crosshair is as _far_ from the laser dot as you can get it. In other words, make it so the dot is way out on the vertical bar of the reticle. Now twist the scope in the rings until the vertical bar of the reticle is perfectly cutting the laser dot, then lock it down in the rings.
What you’ve just accomplished is eliminating scope cant. At this point you can dial the elevation turret back to a reasonable spot and proceed with a rough zeroing.
Then to complete things, install a spirit level to deal with gun cant. View a hanging plumb line through the scope and orient your gun so it’s perfectly aligned to the plumb line, and affix the spirit level so it indicates level.
From here forward, hold the gun level and have the confidence you have eliminated both sources of cant error.