You will need a different orifice on the burner when you switch between natural gas and propane.
NG needs a larger orifice, so if you are going to start on propane and then later move to NG, you can just drill it out to the proper size.
Here's an example of the valve: http://www.brewershardware.com/Valve-and-LPG-Orifice-for-BURN10.html
So if you drill it out, how would you thread in the orifice? No, I don't have a clue.
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