Do you mean you are changing domains? As in, you will move all content to a different domain?
If you don't have to, I would not change it. It's a big headache and you are guaranteed to lose a lot of SEO value in the transition period and some in the long run.
However, if you must, here's what I would say:
1. Create 301 url forwards from old URL to new. 301 forwards pass the juice of the old link onto the new, letting search engines know the new domain is legit.
2. Submit your new domain to the search engines with a proper xml sitemap for expedition of your new domain indexing.
3. Start building links to your new domain, change any existing links on say, Facebook or Google +.