Process

Changing filament might seem straightforward, but I damaged my first print head by refusing to look up the proper way to do it and just jamming in and ripping out filament between prints. Be sure to follow these steps and you'll do fine.

Pre-heating

Before loading or unloading filament, make sure to preheat the extruder. The temperature you should set it to can vary between filaments, but 210° is generally safe for all filaments.

Unloading

Once the correct temperature has been reached, on the screen of the printer, navigate to Filament -> Unload slow

After just a few moments, you should see the filament wriggle around. Once it stops moving, you can press down on the extruder arm to unlock the filament and just pull it out. Inspect the filament for any junk - if you see anything stuck to the tip of the filament, you may need to either swap out the nozzle or do a "cold pull" to remove any extra junk from the inside of the nozzle.

Loading

When the old filament has been removed and the nozzle is clean of junk, you can load new filament. To begin with, cut the new filament to remove any old melted filament at a 45° angle so that it can more easily fit in-between the extruder wheels. Then, press down on the extruder arm once again to unlock the guide, slip in the new filament, and just sort of work it up and down until you feel it enter into the feeder tube to the extruder gears.

Once that is loaded up, release the extruder arm and then navigate to Filament -> Load slow on the LCD screen.

First, the old color filament will purge, and then you should see the new color filament stream out behind it. If first it's just the old filament and then the new never comes out, it likely didn't make its way into the extruder gears. Pull the filament back out, cut it again, and try once more. If it only purges a little bit of the new filament or if the extruder clicks repeatedly during the process, feel free to click Load slow again on the LCD until it comes out smoothly.

Clogging

Cold pull

If at this point the filament either shoots out wildly to one side or even loops back around and gets stuck to the nozzle itself even after un-sticking it, you have a clogged nozzle. The aforementioned "cold pull" method may help.

This process involves heating the machine up to operating temperature for the filament inside of the extruder, holding it there for a few minutes, and then dropping it back down to roughly ~150°, and then just pulling out the filament, which should have now grabbed any of the extra junk stuck in the nozzle.

People do sell special "cold pull" filaments you can use for this, but frankly, they are just nylon filament you can buy normally. However, if you don't print much in nylon, it's probably cheaper overall to just buy the kits instead of an entire spool of nylon.

No Clogger tool

I have had great luck with a tool called the "No Clogger" (Amazon link) to force junk out the other side of the nozzle. Just heat the extruder up to operating temp and then jam the No Clogger through the extruder feeder tube. This might be rough on nozzles but I haven't messed one up with this method yet, and it's quite a bit quicker and easier than the "cold pull" or swapping out a nozzle.

Nozzle swap

When the time comes to swap out a nozzle either because it has become damaged or you want to swap out to a hardened nozzle, there's a correct procedure for this, too.

Let the machine cool down to room temperature, then remove the silicone sock from around the heatblock & nozzle assembly.
Then heat the nozzle up to about 250°.
Before removing anything, please put on thick-ish gloves so that you cannot get burned, because you're going to be very close to molten plastic and extremely hot brass and/or steel.
With the nozzle still rocket hot, unscrew it with a wrench and set it somewhere safe (I use just a ceramic bowl) until it has cooled back down enough to handle again.
From here, you can turn the extruder temperature back down so it's a little less dangerous to install the new nozzle. Go ahead and thread the new nozzle in at this point.
This last part is important not to skip -- heat the new nozzle back up to around 250° and give it one final torquing down to make sure it's plenty tight.
At this point, load your new filament and inspect around the nozzle for any filament leaking out of it. If you have any leaking filament, you may either have a damaged heatblock or cross-threaded nozzle and any prints you try will be ruined.
Once everything looks good, let the machine cool back off and make sure to reinstall the silicone sock on the heater block.