Hi fellow modelers, I have a JR 460T gyro and a 9z Radio. I am a bit confused on how to set up a tail lock gyro. I heard that when the tail lock mode is on all tail rotor mixing should be turned off, Is this true. Any setup info and actually how to fly with a tail lock gyro would be a huge help.

Yes, all tail mixing has to be turned off when using a gyro set to Heading Hold or tail lock. All heading hold gyro work by have an electronic center instead of being in mechanical trim. Any deviation from that electronic center will cause the gyro to drift.
As far as flying with heading hold, you will find it somewhat different from normal mode. In normal mode, the gyro will allow the tail to weather vane somewhat behind the heli while in forward flight. This makes flying the heli a bit easier in turns. Heading hold, on the other hand, makes the tail always want to be in the last orientation it was last left in, until you actually tell it to change direction by moving the rudder stick. If you try to make a turn with while in heading hold without turning the tail with the rudder stick, the heli will simply bank over and slide towards the ground. Once mastered, most flyers still prefer to fly in heading hold.