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The original nozzle became clogged on my Rostock Max 2. Replacing it was very straight forward:

Order new nozzle (http://forum.seemecnc.com/viewtopic.php?f=59&t=6069)
Drop two arms into transport position.
Heat hot end to 240.
Use 3/8 in wrench to remove nozzle.
Cool hot end.
Install new nozzle.

The hot nozzle was not tight at all. It would have turned with fingers (if they were fireproof). Now for the question: Should we be tightening the nozzle once it is at temperature or just leave it alone and check for looseness when cool?

Hmm ... no replies out of 65 views.

I am going to try "tighten at temperature" today. Keep tuned for results.

I could not even budge my nozzle until the hot end was up to temperature, taking it off, OR putting it on.

What I did was heat it up to 230 and turn the power OFF, then QUICKLY unscrew/screw in the nozzle. Shutting the power off is necessary because the hot end might rotate and short out, or you may hit the resistor wires with the wrench and short it out.

Tighten and loosen the nozzle when hot.

I have some experience with this. You will need to tighten when hot. If not, your calibration will never be exact.