How to change my character religion?

There are two ways for you to change religions. The first is to select the religion you wish to change to (use the Religious map mode, R), and hit the "Convert" button. This has a piety cost based on a number of factors (mostly how similar the religions are to one-another, but factors like whether it's been reformed are also factors).

The other option is to adopt the religion of a spouse or concubine. This is "free", but you do need to be married in the first place, which can be dicey, especially if the religion you're hoping to convert to is considered "evil" in the eyes of your current one, which can cause an opinion malus large enough to prevent marriage in the first place.

Once you're legally tied to your heretical partner, simply choose "Adopt Faith" from the interaction menu.