To remove the nozzle of the 3Doodler PRO you must have the pen turned on and heated to at least 180 degrees Celsius. Using the nozzle set holder (which has a nozzle removal tool built into it), unscrew the nozzle in a counterclockwise direction.
When replacing the nozzle, make sure the pen is at least 180 degrees Celsius and screw it back on with the nozzle set holder in a clockwise direction. Do not over-tighten the nozzle when replacing it. Stop tightening as soon as you feel resistance so as to avoid over-tightening and breaking off the threaded pen tip.