Yes, having one nut per (frequently used) tip is the only practical way to use the i-Tools in my opinion. A bit expensive, but that way you can even swap tips while they are still hot, without needing pliers or such.
@CharlotteSwiss -- if the tip slides out of the nut (once unscrewed) without the need to apply force, you most likely had not fully inserted the tip into the nut. The collar at the bottom of the tip needs to go past the little indents in the nut's metal cap. All the way in until it reaches the hard stop at the end of the metal cap. A forceful tug with your fingers is required, or even a careful tug with flat-noise pliers.