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While this is a fairly simple DIY event for those that are mechanically inclined, not everyone feels comfortable doing these types of things by themselves. So, here's a little How-to to ease your mind hopefully...
First you will need some tools. You will need a way to safely jack your FX up, and you will of course need new oil, filter and an oil drain pan.
Tools:
Floor Jack with stands, or car ramps
10mm socket (and ratchet) for the belly pan
14mm socket (and ratchet) for the drain plug
filter wrench (optional sized: 64.3mm (2.531 in) )
Plastic Oil funnel (optional)
Capacities:
3.5- 5qt(4.7L)(with oil filter change), 4-5/8qt(4.4L)(without oil filter change)
4.5- 7qt(6.6L)(with oil filter change), 6-3/8qt(6L)(without oil filter change
To begin, you must jack up the vehicle and / or drive it's front wheels up onto ramps. If you are using a floor jack you must find a secure spot for the Jackstands to go. You want the full weight of the vehicle placed onto the jackstands. Before climbing under the FX ensure it's in park, the emergency brake is set, and it is advisable to have wheel chocks (2x4 piece of wood, or a brick, or even a real wheel chock) on the rear wheels to ensure the vehicle will not slide off the jack stands.

Next you need to remove the plastic belly pan, which will give you access to the underside of the FX. There are 12 10mm hex bolts that also have a phillips head on them. Use either a 10mm socket or phillips screw driver (I recommend a 10mm socket) to loosen and remove the bolts. You will now find that the belly pan is held in place by two plastic fasteners towards the rear of the vehicle. These pins are there to hold the belly pan in place until you are ready to remove it. Use a small screwdriver to release the fasteners and then pull them out. Now you may slide the belly pan towards the rear of the vehicle releasing it from the front tabs holding it in place.

Next you need to drain the old oil out into a drain pan. Loosen the Drain bolt located at the rear of the oil pan (shown below) using a 14mm socket or wrench.
FX35 Shown

FX45 Shown

Once the oil has drained, replace the drain plug and torque to 25ft/lbs.
Now, you need to remove the old oil filter. Depending on how tightly it was installed you may be able to spin it off by hand, or it could require an oil filter wrench. Craftsman makes a rubber band wrench that can also be used. Be sure to have the drain pan under the oil filter because a small amount of oil will spill out.
FX35 Shown

FX45 Shown

Next, make sure that the surface where the oil filter seals is clean and free of any debris. Before installing the new oil filter I always remove the rubber seal and lightly coat the entire seal with clean motor oil. I also fill the filter half way up with new motor oil. This will soak into the new oil filter and will not spill out when installing it.
Screw the new oil filter on. The general rule of thumb is that once the filter is tight enough that it just touches the rubber seal, spin it another 3/4 of a turn. Basically, this is just a stern hand tight. The service manual states 13ft/lbs
Prefill checklist
- Is the drain plug installed and tight
- Is the oil filter installed and tight?
Now all that's left is to do is fill with your oil of choice and carefully lower the vehicle back onto the ground in the reverse order that you lifted it, and clean up.
Post change checklist
1) Start the engine, and check there is no leak of engine oil.
2) Stop engine and wait for 10 minutes.
3) Check engine oil level and add engine oil if necessary.
edit by particlefx: added the PDF version