Cleaning between flavors is completely preference only. There is no reason you have to do it.
f you want to clean it... just empty the tank, disassemble it, rinse all the parts under warm water or just soak them in warm water for a little bit.
As far as the coil... if its not used up, you can rinse it out with warm water, let it dry for a day or so, then re-use it.
I personally don't usually clean between flavors. I don't care if those first few hits are mixed. I only clean my tanks between coil changes.
The only caution I would have on this... once a tank has had menthol, mint, or anise in it, it usually always has that taste to it.