You should always perform a hot tighten of nozzle when changing or installing a new hotend. It always recommenced to remove/change nozzle when hotend is hot. This is general guide, your hotend and printer may differ. 

This guide would be suitable for most V6, MK8 (Creality), Volcano nozzles, do note, specific hotend/nozzle may require different torque setting when hot tightening.

Hot Tightening

1. Using the onboard LCD heat the hotend up to 285°C (or if printing at higher temperatures 10-20°C above the temperature you plan on printing at) wait roughly a couple minutes at 285°C to allow the different materials to equalise in temperature. If you hotend will not reach 285c, please heat to maximum temperature of hotend, for instance most PTFE line hotend max is 245c

2. Using a suitable size spanner(for the nozzle) and an adjustable wrench tightening the unit, as shown in below image. If you have pre-set torque wrench is good idea to hot tighten at ~1.5-2nm (Please note, please also refer to original nozzle/hotend manufacturer for safe torque setting, as too much torque can snap the nozzle or heat break)

Image Source from E3D: https://e3d-online.zendesk.com/hc/en-us/articles/360017013257-V6-Assembly-Guide-Edition-2-

Nozzle Replacement Process. For other heat breaks without the flange, ensure the bottom nozzle does not sit flush to heat break and this usually mean there may be gap.

Install Video, for V6/Prusa MK3

For MK8 Hotend: