With my better cues, I take them to Roger, the tip guy at Capone's. Since I have a supply of Sniper and Tiger tips, he'll put them on for me for $10.
With my el-cheapo Players that I use for bars, it's not worth it to pay $10 for a tip change since 5 tip changes would cost me the price of a new el-cheapo. I remove the old tips with a razor blade of a carpet knife, shaving it as close to the end of the ferrule as I can. Then I switch to the sander. It's the same as the others described here. I too put something between the clamp and the shaft to prevent indentations but you have to be careful that this padding doesn't screw up the alignment. Otherwise you might wind up with a slanted cock-eyed ferrule. I did that once.
Last thing I do before gluing with superglue gel is sand the bottom of the tip by running it back and forth over some fine sandpaper.