JSub, welcome to the forum. Enjoy your "new" film camera. As noted by the others, no problem at all with changing lenses with film in the camera. If it causes problems, then there's light leakage somewhere in the shutter or the internal box.
Two quick mentions about shooting film vs. digital -- and these are two of the many little changes in mind set us old-timers have to adjust to when going the other way -- you can't change the ISO (or ASA as it was known back then) value of the film in mid-roll. Set it correctly when you load, and don't change it until you put in a new roll with a different sensitivity. And there's no "auto" white balance capability... although some newer films were a little more flexible in different light, and processing/printing got colors closer to normal, the only reliable ways to get the correct colors were by using filters, or overpowering room lighting with flash.
Oh, one other big change in mindset: every shot counts in film, because it costs money, and uses one of a very limited number of images on a roll. But there's nothing like that anticipation of getting your pictures back to see if they turned out OK!