Place the lining right side down on top of the bag and zip, lining up the raw edges. You should have a zip sandwich between the bag outer and the lining.
Now flip the whole thing over so you can see the first line of stitching you did to secure the zip. The lining is now the bottom layer.
Sew another line of stitching on the top of the first line, this time you will go through all the layers of the bag outer, zip and lining. Again, as you did before, when you get close to the zip head you will need to slide your hand between the layers to move the zipper head past the presser foot.
Fold back the outer and lining away from the zip leaving the zip exposed. You can finger press the layers back away from the zip. Do not use the iron on the any delicate fabrics.
Now repeat this process but with the other side of the zip. Just ignore the first side of the bag as you line up the zip.