It is really to do, and about the only draw back is you'll have to get an extra quart of oil.
Get the front of your car off the ground. I like using jack stands. Drain the oil from the drain plug and the filter as you normally would. While it is draining, use, I believe it is an 8mm wrench or socket to remove the two bolts that hold the splash guard in place, one on each side. Then, you'll see a coupling, exactly like the tranny cooler coupling. Using some pliers, detach the line to the cooler. At this time, oil will pour out of the cooler, and the line. And because you have opened up the system, a tonne of oil will splash out of the filter nozzle. So when you don't empty the oil cooler, you actually hold the .9 quarts in the cooler, and about another half quart that comes right out of the filter nozzle.
Give the oil time to drain. I like to wait atleast one hour. The best way to get oil out is to warm it up. And you warm it by running the engine. Due to the design of the engine, with oil going to the heads as well as the turbo and the oil cooler, there is a TONNE of oil in the car, and a tonne of places for it to sit. So give it time to drain.
When reinstalling the line to the oil cooler, there is a special aluminum clip. This is recommended to be changed after each removal. I think this is excessive as long as you make sure you don't stretch it too much. But once every 2-3 times is reasonable in my opinion.
Should it be done each and everytime? Depends on who you ask. As long as you keep a good low interval oil change, with low stress driving conditions, and ALWAYS use a good synthetic, I see no real problem with never changing it. However, I never settle for good enough on my car. I will empty mine every three oil changes. Mind you, I run AMSOIL, and change my oil every 5000 miles, while I have tested it on my car for 20,000 miles with flying colours. The only reason why I have been changing it at 5000 miles and not longer, even though I have tested it to be good even after 20,000 miles, is because up till recently, I have been having two small leaks. One at the turbo oil return line, and the dipstick. Both have been fixed now, so I feel much more comfortable with running it for longer.
So back to the original question, it depends on the driving conditions your car faces, and the quality of the oil you use.
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