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This is a pretty open-ended question intentionally. :-)

All of the soldering I've done to this point has been with through-hole components. I hope to move up to some smaller surface-mount parts at some point in the future. I've got a Weller WES51 soldering station that came with a "screwdriver" tip (ETA, I think) that's starting to feel a bit like working with a sausage as my skills (incrementally) improve. There is a large number of ET series tips available. How do I choose the right tip for the components I'll be working with?

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It depends on what you're soldering, and how skilled you are at soldering.

You can, in fact, solder a 0.4mm pitch TQFP with a tip that spans several pins, such as the ETA you mention, but it takes a lot more skill (and flux!).

If you're doing mostly through hole components, the ETA is perfectly fine.

I'm also doing SMT and very fine SMT work, so I also purchased the 0.030" and 0.015" conical tips. I use these under a microscope to do the 0.4mm (about 0.016") pitch TQFP chips.

It is worthwhile getting the biggest chisel tip you can, as well, for the occasional need to deal with soldered heatsinks, or parts soldered to ground planes or PCB heatsinks. These can pump all 40+ watts of your iron into the joint, allowing you to remove it without heating the component up too much.

Keep in mind that typical wet sponge tip cleaners can lower the tip's temperature significantly, especially with the small tips. I use a gold tip cleaner similar to this Hakko product, which doesn't soak as much heat from the iron on each wipe.

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    \$\begingroup\$ If you are soldering TQFP one pin at a time, you are doing it wrong. Search YouTube for "drag soldering". Myself, I prefer a 1.8mm chisel tip. I've soldered TQFP, TSSOP, DFN with it. The super-tiny tips just make a mess. They don't transfer enough heat to the joint and it's easy to lift a trace when the solder freezes to the tip. \$\endgroup\$ – markrages Jan 7 '10 at 15:05
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    \$\begingroup\$ First, you can drag solder with a tiny tip - it's never frozen up for me (are you sure you're using the right iron and tip if your tip is freezing? Sounds to me like a bad tool, or poor skill.), secondly, soldering it one pin at a time is certainly not 'wrong' - in fact I'm scratching my head at why you would think so. It's a different technique, certainly, and can be more time consuming, but it doesn't damage the chip, pin, or PCB, and results in a good solder joint. The man whose only tool is a hammer tends to see everything as a nail. I find it useful to have and use several techniques. \$\endgroup\$ – Adam Davis Jan 8 '10 at 14:41
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    \$\begingroup\$ +1 for microscope soldering. If you do it correctly with good equipment, the ic doesn't even get warm. I often find that the hard part of smd is inspecting the soldering joints which is near impossible without a microscope anyway \$\endgroup\$ – penjuin Jul 5 '10 at 0:38
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    \$\begingroup\$ +1 agree with markrages, i use a 2.5mm chisel tip for 95% of SMD assembly. I never use a smaller tip to assemble finer pitch devices, only for rework or for devices that are closely spaced enough that i would damage nearby components with a large tip. Small tips do not prevent you from damaging chips. In fact using a wide tip to solder more pins at a time usually results in less time spent heating the part making it safer. It is all but impossible to solder a GND pin with a close connection to a ground plane well with 0.015in tip without spending 5 minutes on a single pin. \$\endgroup\$ – Mark Jul 7 '10 at 4:59
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Get the biggest one that is comfortable to use for the parts you are soldering. Obviously for smaller SMD parts, you'll need a smaller tip, but smaller tips are also slower to transfer heat, making it harder to solder.

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Mini-wave tip:
http://www.sterntech.com/soldering.php

My two cents worth. I recently had to solder on of our prototype boards, which had only SMD components. I agree with most of the comments above for general SMD parts. The toughest part I found (only when I did this for the first time), was to solder the microcontroller on the board.

It is extremely critical to get this part aligned on the pads. There are a few tricks that make this the easiest part to solder in the end:
1) Lots of FLUX on the pads where the part will be placed!
2) And then this magical tip called the mini-wave tip. After tacking on the corner pins to ensure proper alignment, you fill the tip with solder and just slightly drag it along the pins of the microcontroller. Once all the pins are tacked on, you can use this tip to drag/suck away the excess solder off the pins! Works much better than tacking each pin on and using wick to dab away the excess solder.

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I prefer a knife-style tip:

http://www.cooperhandtools.com/brands/CF_Files/model_detail.cfm?upc=037103166463

These are designed for PLCCs but work really well for SOIC or TSSOP style components. What you do is to bead up a blob of solder, place the edge of the blade at the angle between the toe of the lead and the pad, then drag the iron down the row of pins. The reason for this technique is that it is faster and gives a better result than pin-at-a-time.

The solder follows the heat but leaves each lead with a perfect joint and heel fillet. One thing to note is that if you are really good, you can do a whole row of fine pitch pins with no bridging - the solder just walks off the end and onto the iron. Me, I'm not that good and always end up removing the solder bridge on the last two or three pins of fine-pitch SMT parts.

These tips also work well for discrete SMT components and even through hole leads. By rotating the blade, you can get contact with a larger surface of a through-hole lead for getting extra heat to ground or power pins. By rotating the other way, you can use the tip of the tip for SMT chip components.

I disagree with the advice to use the micro-conical tips. These have never done anything for me except F-up boards and joints. Either they don't melt the solder, or you turn the temperature up so high that you start burning away solder mask and start seeing the tip dissolve away in the solder.

Also, consider the boards you'll be working with. Things that work with a little two-layer board or one of those unpopulated, phony "practice" boards the soldering iron vendors give out fail miserably on 4+ layer, fully built, assemblies.

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    \$\begingroup\$ You should be able to avoid the solder bridges on the last couple of pins by removing the tip in line with the pins, instead of continuing in the same direction. It should then remove the excess solder. That's what Metcal recommends when drag-soldering with their mini-hoof cartridge. \$\endgroup\$ – Leon Heller Jul 4 '10 at 4:45
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I like the 20mil tip with a 30deg bend. Great for SMD. I use wider parts of the tip for larger leads. The Metcal heats the tip mass very quickly.

If I am soldering a lot of connector pins I keep the 20+year old Weller on. Large chisel tip.

The part numbers for the tips and my tools are at http://tinyurl.com/5foeou

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