On order to change the nozzle the hotend needs to be heated to about 200°C. You can use the swap nozzle feature from the menu. This will also home all axis for you and position the printhead in a mid position.
Take Care The nozzle is very fragil and can be easily ruined.
Before installing the new nozzle the tiny black o ring should be removed. After screwing the nozzle in the menu item "set z offset" should be run, to adjust the new offset between the z inductive sensor and the nozzle. When you're done don't forget to change the nozzle diameter in your slicer configuration.