To change after item has been won but before payment: at eBay Checkout on the Order Details page you should see a "Change" link by the delivery address. Click on that, enter the address you want to use and click on "Use this address".
If you've already paid you'll need to email the seller and let them know. Go to far right of item on your My eBay Purchase History page > Contact Seller. They may prefer to cancel the current transaction (refund would be issued automatically) and relist after you've updated your address for you to buy and pay again.
