Opening caulk tube with threaded nozzle
Cut off the tip of the conical stub. Doesn't much matter how large the opening ends up being, but don't go past the tapered part. There's no reason to do so. 

Then, start with the smallest opening on the nozzle that you think will do the job. Less caulk is better, and you can always open it further. 

To seal it, I typically wrap tape around the end of the nozzle in a cylinder, pinch the end closed, and squeeze caulk into it. This creates a self-sealing plug that can be easily pulled off later.