Everyone has their own ways . . but it really isn't necessary to remove the nipple and clean out screw each time. When you do remove it, smear a slight dab of anti-seize on the threads.
I've been shooting for 55 years and shot N-SSA for a long time qs well - I've shot many original as well as reproduction rifled muskets as well as RB rifles nd smoothbores. A barrel on a rifled musket is fairly easy to remove - remove the ting screw and barrel ands. Stick the barrel breech in a bucket of hot soapy water, use a tight patch to draw water into the bore and then dry path and warm entire barrel with a hair dryer. Oil the bore and if you are OCD, put a drop of oil around the nipple and into it. The next time you go to shoot, dry patch the bore and snap a couple of musket caps to drive out and burn any oil in the nipple. An Ampco nipple won't rust. Removing the nipple and clean out screw each time only causes exellexessive wear on them and wear to the screw slot nd nipple shoulders. It's fine to do it every once in a while when doing a thorough cleaning.
I've put tens of thousands of rounds down rifled muskets and never had an issue.
On your Volunteer rifle - I'm assuming that you are using a square should musket nipple. If you don't have a good "box musket nipple wrench" - pick one up. It was probably put in at the factory by Egor, who used to work for Pietta and Uberti who used to reef on the screws. That and tight thread tolerances are probably the culprit. Put some penetrating oil on it and let it sit for a day or so. If you can't get it out, you may have to take it to a gunsmith who can clamp the barrel securely and have the right nipple wrenches to get it out. Breech plugs on military muskets and rifled muskets usually remove fairly easily as well. If you pull your breech plug at some point, it's a good idea to put a little anti-seize compound on the threads as well - makes it easier when you have to remove again.
Nipples can be troublesome at times but you'll get yours out - just take your time. For some reason, many of the reproductions seem to have had their nipples reefed on at the factory. When nipples are installed, they should be
snugged down but it isn't necessary to put a breaker bar on the wrench. If snugged down tightly with a standard nipple wrench, they aren't going to go anywhere.
Good luck!