I've also heard this technique from a trucker giving me tips on my new diesel.
Regardless of whether it helps or not, I can't see how it would hurt. It sounds to me like a safety tip to ensure adequate lubrication throughout the fuel system while the flow gets back to normal after opening for the filter change.
Jack
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'01 2500 QC ST 4WD SWB, Patriot Blue/Agate.
DEE/ETH, Trailer-Camper-Plow, 3. 54 LSD, rear-slider, cab-lights, 265's.
[This message has been edited by jacko (edited 09-05-2000). ]