To greatly reduce a cycle time so as to reduce costs by positioning and fixing a pallet carried onto a mobile table, detecting if it is an upper pallet or a lower pallet and then controlling the height position of the machining head of a thermal cutting machine to an optimal position.

A pallet PB is housed in a pallet changing device 5, and a pallet PA carried to a laser machine 1 side is fixed on a mobile table 3 by a clamping device provided on the mobile table 3. Then, the pallets PA and PB are arranged in upper and lower two stages and, between the pallet changing device 5 and the mobile table 3, the pallets PA and PB of the two stages are horizontally moved in opposing directions and then the pallets PA and PB are carried onto or out of the mobile table 3. A difference in height between the two stages of the pallets PA and PB is automatically determined by a detector and, by regulating the Z axis of a machining head 131 as an NC control shaft, automatic running is performed without any problems.