How ofter are you switching tips? It's been a while since I did any real soldering, but I don't remember often needing to switch in the middle of a session.
Depends. The ancient Weller that I have has a sleeve you can unscrew but that sucker gets burning hot, and the thumbscrew locks up unless you cool the tip down, which you can do by holding the thing on your wet sponge.
I swap the tips on my Hakko without letting it cool down, I just use a Knipex pliers wrench so I don't burn myself. I keep my spare tips in an altoids tin, so I can drop the hot one in there without burning anything.