How to connect laser module to cnc sheild v3.0

Is there any code or method to control the power of 2500mw laser.

That is what the PWM does. As I said I would change the code so that the spindle speed controls the laser power through changing the value written to the PWM.

If i want to engrave a wood can i use 500mw laser

No idea, I suspect it depends on the sort of wood and it’s colour.