Forgot to mention, changing the head is just a matter of unscrewing Jazz's head, sliding it off the ball joint, then pushing Longblast's head on top.

Jazz's hand has a ball joint that fits into a socket on his hand. I found it hard to get this off, so I soaked it in just-boiled water for 2-3 minutes then was able to pull it off. The gun barrel has a ball joint that plugs into the socket.