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I changed mine at 500 with a fossil engine oil similar to the HD 360 that it came with at the factory, and also changed the filter. I used Castrol GTX 20w50 and kept it in the crankcase until 1500 miles. At that time I also changed the filter again and began using my synthetic oil of choice. The next change was at 5k and that began my ritual of 5k-mile intervals.
Some will say to start using synthetic very early, like at 500 miles, but one last fill with fossil oil won't hurt anything and will speed-up what little top-end break-in remains. Rings should be seated by 50 miles, so it likely wouldn't hurt to use synthetic very early on, but if you are changing it at short intervals IMO it is a waste of money. Start with synthetic when you begin your 5k (or whatever) ritual, IMO.
I changed my engine oil and filter only at 500 miles with the Harley Fossil 360 standard stuff. Then at 1000 miles, I changed all fluids, engine, tranny and primary and converted to Amsoil synthetics except for the primary, which got the Harley Formula Plus. Worked for me.
New tranny at 47 miles on a 2010 RoadKing! What was that all about?
Riding home from the dealer on a rainy December afternoon, the tranny went out with 47 miles on it. It wasn't noticable at first, but when I got to a stop light...it wouldn't downshift, and the engine would die. Then after several more miles, it would just die while riding it. I managed to get it home with 75 miles on it, then towed it back to the dealer the next day. This was 4 days from Christmas. They (Fort Walton Beach HD) had it ready the day after Christmas! They express shipped a new tranny and installed it so i could spend the rest of my leave with a running bike.
i fully agree with the other guys in here about using the dino oil for the first couple of go rounds. it will allow everything to fit together and break in properly. then change over to synthetic and you'll have a great bike for a very long time. i noticed on the past three twin cam harleys i've owned that when they hit around 4,000 to 4500 miles, the motor seems to really wake up. they've ran stronger, cooler, and the gas mileage improved significantly when i reached that mileage mark on the odometer. i guess that's when it was truly broken in where all the reciprocating parts decided they wanted to get along with each other. i noticed a big difference, and that's when i realized, this is "my" harley, and he's trying to be my friend. i know that may sound like a lot of "i'm okay, you're okay" sort of crap, but wait till 4500 miles and see if it's not true.
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