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There has to be this really tiny hole in the center of the nozzle. Requires high precision machine to make one, right?
Wrong. It can be really dead simple.
Dremel & Bare Drill bit
Here's a video made by Alan Long, showing how to do this drill by hand. As the drill diameter is very small, you don't even need a chuck for it. Watch yourself:
Hand Drill & Printed Assembly
This video shows a method using a hand drill and an assembly made out of printed parts (minure 14:00 to 14:20). It also shows how to taper the nut (minute 8:00 to 8:20). Tapering the nut is done by many people, but also many consider it to be not neccessary.