if you are using the same color, no you don't necessarily need to purge, but yes, it does work in the middle of printing as well.
pause, jog the head away from your print, yank out the old, insert the new (make sure you shove it down in all the way), resume print.
I also use this method to change colors on a print (2 color print) it is not hard. For this however, I set up a specific g-code sequence to move the printhead & pause at the correct layer
I do these a lot for a customer.