Pyrex glass will take fast temp changes and smaller wire is actually the opposite way to go. IMHO 36ga NiCr is around 20 ohms per foot. 40ga jumps to whoppin 70ohms per foot.
True, but it takes less amps to get it heated to a specific temperature. Unfortunately, I ordered 32,36,40ga and recieved 26,32,36 instead. So I guess I should just use 36ga to start with? What did you use for your coils?
Basically making it a cartomiser
I too, was thinking along those lines. My only worries were (1) having epoxy directly on the juice and (2) would the legs need to be insulated? I think this could lead to a very compact and clean system, though. I really like the design of the cartomizers.
Perhaps a drop of molten glass on the end to seal it instead? Thermal conductivity of air would take an extra second or two, I would think... but is it negligible? Smaller Christmas light.. Cut it closer to the top as time goes on and practice would make closer tolerances... Perhaps an On/Off switch to turn on a preheater?
I'd love to be able to seal it with glass. Just not sure how or if I have the tools. And the preheater is something I mentioned in an above reply. It might not be too bad... plus, if it's preheated it will result in almost instant vaporization when you hit the 2nd button since everything will be 95% ready.
As for your idea about encasing the coil in glass, i'd love to. In fact, I was looking up glassworking costs yesterday, but it takes about $1000 to get a decent start in glassworking/blowing.

The easier way would be to get a tiny glass rod, stick the coil in there, and seal off both sides. Almost as good!
Assuming that we can melt Pyrex, and dip a coil into it - can anyone think of something that we can "pre-dip" nichrome in that would create an expansion area?
Maybe dip a really hot, thick Nichrome coil into glass, let it cool and shrink, hopefully small enough so that you can actually pull it out, and then "snake" a smaller Nichrome coil through. Seal the two holes. But I think this might be too much work.
Anywho, I was thinking about this problem, and I was reminded of a time when I made temperature probes out of a thermistor on a wire and a glass pipette. I used a blowtorch to melt the tapered tip of the pipette shut and squashed it a bit onto the tip of the thermistor.
Excellent, I wonder if I can seal off the glass bulb this way!
I have in mind an atomizer consisting of a thin-walled boron-glass (pyrex is a brand of boron glass) tubing, perhaps 2mm diameter, containing a coil of nichrome wrapped around a capillary tube with one lead going through the center of the smaller tube. One end of the tube being sealed, the other being sealed around the nichrome's leads that have been soldered on previously. [...] I'm designing a DIY nicotine delivery device and am considering this method for the atomizer.
Could you post any diagrams? (I love diagrams) Sounds great, though. How will you be sealing the tubes? I hope this idea (and hopefully some positive results) will help you out in your endeavors, and thanks for the input! Keep us updated with your projects!