I believe that the answer to your question of interchangeable or fixed tips very much depends on what wood burner you own. Each manufacturer seems to have a different system and you can not use one manufacturer's system to determine how another manufacturers system will work for you.
Owning both a RazerTip and a Colwood burner I very much agree with Nedra that the RazorTip interchangeables are a nuisance and a problem for any wood burner. Their system of welded screws to secure a bent wire to the tip is unstable and prone to breaking at the weld. Each time you tighten the screws the process distorts the wires in the pen, the wires of the tip and weekens the welds for the screws.
I have already gone through several interchangeable pens from RazerTip. By the time I had changed out a RazerTip interchangeable a dozen times both the interchangeable tip and the pen were worthless.
The Colwood system has a very nice easy to use snap in system. There are no screws, no tightening and no distortion for either the new pen tip of the pen itself. The interchangeable portion of the wire tip is pre-set into a heavy plastic receptacle with two male connections. That plastic tip pops into the interchangeable pen's female receptacle to give a very firm secure connection.
Because of the snap-in tight positive connection with the Colwood I can not notice any discernible loss of heating between the fixed and interchangeables.
The Colwood does need a simple device to remove those interchangeables... basically it's an over sized pair of bent tweezers

And I know that it has been posted by others that needing those tweezers means 'extra' work but in truth it's no more and may be less than needing to remove and then re-install the screws on the RazerTip all while trying to hold the tip wire into the correct position.
Once a Colwood interchangeable tip is in place the distance from your finger tips to the burning is the same as for a fixed tip pen by Colwood.
I use both my RazerTip and my Colwood burning systems but when I want to use my interchangeable tips I go right for the Colwood. And it sure is a money saving option for me for those tips that I occasionally want to use but could no otherwise afford in a fixed tipped pen.
This is just my experiences and only for these two manufacturers. There are several other burner manufactures that sell excellent, high quality burners. perhaps someone who uses one of those will post their experiences with their brand.
So, Caren, what type of burner do you have so that those that have the same brand can share their experiences????
Susan Irish