So how do you clean an air brush?

[Monkeysmate]

I'm interested to know how folk clean air brushes?
Is it necessary to disassemble each time?
I just immersed it in a bucket of warm water and blew air through it for a bit, and used a paintbrush to clean the nozzle that never seemed to clean itself... Seemed OK, but will I run into trouble?
And how much cleaning is needed between colours?
Thank you.