Easily changing the nozzle size in 15.06 isn't supported yet. You'd have to have a different machine profile (.json file: found in Cura_15.06.XX\resources\settings) for each nozzle size you'd want to use. So for example you'd have to have:
ultimaker2_0.4.json with the text "name": "Ultimaker2 Nozzle = 0.4",
"machine_nozzle_size": { "default": 0.4},
ultimaker2_0.8.json with the text "name": "Ultimaker2 Nozzle = 0.8",
"machine_nozzle_size": { "default": 0.8},
That sounds like a pain to me, but according to GitHub Nozzle Size will be a visible and editable field in a future release.