Just be aware that if you have purchased music and videos from the Xbox store, you may lose the ability to redownload some of them. I moved to the U.K. and had to change my region. As such, I was not able to redownload the many movies and T.V. shows (and a significant portion of my music) that I'd purchased in Australia. I was a bit disappointed as it meant I had to repurchase them in order to keep buying new content.
I can't provide you with specific steps, but there is an instruction sheet on the Xbox support page. I simply searched for change region.