Mike, my technique with KlassKote has been to spray a dust coat, wait about 10-15 minutes (assuming you are painting at typical summer temperatures), and then lay down a thicker coat, which should flow out to a shiny finish. The paint stays in the cup/gun while I wait between the coats, with no ill effects. Once the thicker coat is applied, then yes, take the gun apart and clean immediately.
My main problem with KlassKote / Rustoleum (and other enamel) application has been with my inability to find/ create a dust-free environment. Enamels, unlike dope, take some time to dry to a tack-free state, and in the meantime act as wonderful dust collectors, which then shows up in the finish..