To remove the nozzle of the 3Doodler PRO+, you must have the pen turned on and heated to at least 180 degrees Celsius / 356 degrees Fahrenheit. Any of the pre-set material temps other than wood will be hot enough.
Using the included nozzle set (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 / 356 degrees Fahrenheit, and screw it back on with the nozzle set in a clockwise direction.
It is important that you do not over-tighten the nozzle or you risk breaking the pen.