Since you depart from a country outside the Schengen Area and then all the other airports are inside Schengen, the first stop (Vienna) will be slightly different from the second, since you will be entering the Schengen Area and will need to go through passport control in Vienna, while in Zurich you are connecting between two internal Schengen flights (so no passport control there).
Since all flights are on the same ticket, you should get boarding passes for all flights in Sarajevo.
In Vienna, check displays for the gate for your next flight. Follow signs for connecting flights for the relevant gate, that should bring you to passport control and security, and then to your gate.
In Zurich, do the same, but there won’t be passport control, only security.
It’s possible that you won’t have to go through security again in one or both airports, but the rules are complex and ever-changing so I won’t try to guess whether that will be the case or not.
If you don’t have all boarding passes (unlikely in this case), you can use kiosks or transfer desks somewhere along the connection route to get them.
If you had hold luggage it would be checked through to your final destination, so it wouldn’t change anything for you in the connection airports, you wouldn’t see it before Valencia anyway.
If for some reason your hand luggage gets put in the hold (too large, no more space…) make sure it’s correctly tagged to your final destination, you’ll get it back there.