Ron from Uxbridge, Ontario suggests putting a golf "T" in the end of a caulking tube to close it off between uses.
I had never tried that before so I gave it a rough testing. When the hole in the tube was small enough to be able to force the T into place, it worked quite nicely. If the hole was larger, and especially if there was any pressure in the tube, it tended to push the T right out. I even tried plugging a cold caulking tube and then warming it up, and it again pushed the T out.
For a long time I did something similar by driving a tight screw into the end. This actually has two advantages. First it tended to grip the side of the nozzle and second, when I pulled it out with pliers rather than unscrewing it, it tended to pull any hardened caulking out with it.
Then someone showed me what I think is the best solution--screwing electrical connector caps over the end of the tube. You can get them any size you need for a good fit every time. You can even squeeze a little extra into the cap as you put it on, to seal off the end just outside the tip of the nozzle rather than inside the nozzle. This really works well to prevent the caulking from hardening.
But then again, maybe you have more old golf T's lying around than electrical connectors?