If you plan to use the same tool head you'll be replacing the 9mm dies with the .40 dies and they will have to be adjusted. And to switch back to 9mm you'll be removing the .40 dies and installing and adjusting the 9mm dies again.
If you buy a secone tool head and powder measure you simply remove the two pins from your 9mm tool head, slide it out, and install the new tool head and .40 dies. When you switch back to 9mm, just pull the pins, slide out the .40 tool head assy., and slide in the 9mm tool head assembly. Once you have the dies set up in their respective tool heads you don't need to readjust them. Just swap out the entire tool head assy and go.
In order to do this, you'll need a second tool head, .40 dies, a second powder die and powder measure, and a .40 cal conversion kit.