Just don't specify any flags
if e.type is KEYDOWN and e.key == K_w:
pygame.display.set_mode(size)
if e.type is KEYDOWN and e.key == K_f:
pygame.display.set_mode(size, FULLSCREEN)
Works for me.
EDIT
To toggle with a single key, use:
if (e.type is KEYDOWN and e.key == K_f):
if screen.get_flags() & FULLSCREEN:
pygame.display.set_mode(size)
else:
pygame.display.set_mode(size, FULLSCREEN)