Print in ABS.
Clean it up.

1.75 mm filament:
Sheath is 2 mm id x 4 mm od FEP tube (McMaster #5557K32)
4 mm nut

3 mm filament:
Sheath is 1/8" id x 1/4" od PTFE tube
6mm nut

Taper sheath in a pencil sharpener and plastiform nuts over tapers.
Trim excess tubing flush.
Push sheath through the top of the mount, thread on nut, pull back through to seat nut.
Run a drill bit through the tube; 5/64" if using 1.75 mm sheath, 1/8" for 3 mm sheath.
Chamfer the tube opening with a larger, sharp drill bit.
Push the J-Head nozzle into the groove (use a sharp screw driver to clean the groove if necessary). Make sure the nozzle is seated all the way!
Push the lock into the groove.
Run a M2 x 10 mm screw w/ washer through top of the mount (hole provided) to secure the lock.