any thermal shock is a good idea, but (with most if not all common spoke/nipple combinations) the CTEs work out in your favour if you use heat on the nipple rather than cold.
Boiling water is fine (and easy to do) but the differential CTE is so small that the 'shock' and the differential expansion is likely to be small.
For example the differential CTE is usually in the range 2-5 ppm/C so a +80C temperature rise on a 14G spoke with a differential CTE of 3 (say) is going to give you
2x10^-3 x 80 x 3 x 10^-6 = 0.48 x 10^-6m
or 0.48 microns.
If you use a naked flame and heat the nipple to ~220C instead then you will get ~x2.5 as much movement, plus any oxide in the screw thread will start to dry out and this will shrink it.
I find that I can reliably remove brass nipples from stainless steel spokes on 70 year old Raleigh wheels
using a naked flame as a heat source.
cheers