What coin you're mining determines the wallet or wallets you'll be using. The pool payouts will come in the currency that you are mining, which isn't going to be btc, if you are gpu mining.
right now I'm using ahash which auto converts to btc. I input my gdax btc address but from what I understand it keeps changing. So do I need to keep changing my wallet address in the batch file?
No way would I do that unless you want to lose everything that you mine. I personally don't recommend mining directly to an exchange. Mine to a wallet that you control the private key to.
But lets just say you're mining zec ... Well how are you going to send zec to coinbase or gdax? You're not, because they don't have zec wallets. If you tell a zec pool to send your payouts to a gdax btc address, then you'll basically be wasting your time and you'll never see the currency. You can't send anything other than btc to a btc address.
So no ... Do not put a btc address in the batch file of a zec miner that is pointed at a zec pool. They'll end up sending zec to a btc address and then you're fucked.