I have successfully changed my dream scene three times in the last month for lucid tasks. It is really a simple matter of visualization.

1. I picture where I want to be in my head.
2. I shut my dream eyes, but focus on the picture. As long as the dream body has some stimulation, i.e. thought, the dream should not end.
3. After five seconds, a more vivid thought about the dream location pops into my mind and I open the dream eyes and magically I am in my desired location.

This can also be done while falling asleep, basically the MILD technique.