Changing it hot is fine, just need to watch you don't burn things.
The thing you do need to be aware of with soldering stations is never change a tip while the iron is on.
Depending on the iron brand, how good the temp feedback is, and what feedback system they are using - you can get serious problems instantly removing the tips thermal mass from the ceramic element and temp sensor.
The PID can go nuts and burn out the element in extreme cases.
It expects some thermal mass to be there, without it you get overshoot
Best option is to have 3 irons. It's so much easier when you have a small SMD tip , a medium SMD tip and a large TH tip all on hand whenever you need.