In the past Wings of the Goddess areas or in the present?
Present: Speak to an Immigration NPC in the Nation you wish to change to. The amount you must pay to change depends on the conquest rank of the nation.
You can talk to an Allegiance Changer NPC in the nation you wish to switch to in order to change your allegiance: San d'Oria: Beriphaule (Northern San d'Oria C-9) Bastok: Mythily (Metalworks J-8) Windurst: Rakano-Marukano (Heavens Tower)
The cost to change allegiance depends on the new nation's current rank in Conquest: 1st Place in Conquest - 40,000g 2nd Place in Conquest - 12,000g 3rd Place in Conquest - 4,000g
For important things to consider before changing allegiance refer to: http://wiki.ffxiclopedia.org/wiki/Immigration_NPC
Past: Refer to: http://wiki.ffxiclopedia.org/wiki/Back_to_the_Beginning