I only suggest leaving the Oxycon to run for 20 odd mins, but in reality I've no idea of how long it really needs... 5-10 mins or anywhere in between.
I tend to set the Oxycon away while I'm doing another job such as filing, polishing or piercing etc then purge the torch, then light it.
In any event, the Smiths Torch is a great setup whether its used with an O2 cylinder or an Oxycon setup. Highly recommended.
Nick
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