From the Manufacturer:
Using a tall quart jar, add ice to 3/4 level, then fill with cold water.
Stir well for a few minutes. At this point the water should be at 32F.
Without touching the side or bottom insert the thermometer into the water/ice mix.
The Dial should read 32F.
If it does not, then holding the dial with one hand adjust the nut below the dial until the Dial reads exactly 32F

Our Best Practice Method for Cheese Making:
Calibrating at 32F is fine but most cheese making is done at 86-100F and sometimes thermometer calibrations are not linear (not accurate over the entire range).
Since the cheese making process does happen at temperatures similar to our healthy body temperatures a good quality medical thermometer can be used to calibrate your new thermometer since they tend to be extremely accurate for this short range.
Using the medical thermometer fill the same container as above with water adjusted to 98F. If the dial on your new thermometer does not read the same 98F then use the same method as above to adjust it.