If I need to change a nozzle (I have e3d v6), I have to remove the filament, of course, but, should I heat up the hotend before unscrewing the nozzle, or should I do it, when it’s cold?
Heat it up first. you will not break anything this way.
also screwing in a new (which is cold) nozzle have to be done to a heated block?
heat up, loosen old nozzle, cool down and remove nozzle… >then> place new nozzle on, then heat up, then tighten.
If you have trouble screwing in the new/old nozzle, heat up the block and try again. If for some reason you still can’t screw it in, place nozzle into a freezer for few minutes then screw into hot/warm block.
I have not toucted it yet. I am asking in advance, to know, when I need to do it 
Follow the assembly guide, if I remember correctly it says to heat to 250C when installing and tightening nozzle.
To remove the nozzle you should heat to the same temperature, though it’s smart to heat to a lower temp first to remove the filament.
I do the heat up to 280-285, not 250. You want it to be close to the max operating temp. For the lite6, 250 is fine as long as you don’t have the ptfe tube in, otherwise a few degrees lower.