Juan de Onate expedition

What microfilms and other records do I need to research to find more information about the families that traveled to New Mexico from Zacatecas around 1598?

I have the book "New Mexico's First Colonists. The 1597-1600 Enlistments for New Mexico under Juan de Onate, Adelante & Gobernador" by David H. Snow.

I hope to find baptism, marriage and death records. What are the names of the towns and settlements in Zacatecas where the people lived?