Generally I simply turn around, with a clear idea of the next "place" I want to be. But sometimes, when I'm in a particularly odd mood, I get a bit more dramatic, like when I make a "clean sweep" of sorts: I whisk away the existing scene, to be replaced with a new one ... The best example I have of this was during a dream that took place at a bar, and I had had enough of its plot and DC's. With a gesture, the whole scene swept away, as if blown by a hurricane; in a cartoonish moment, everything was gone, except for a beautiful woman perched upon a somehow surviving barstool, her red hair and long dress blowing in the gale. She stared at me, smiled, and then simply vaporized. I guess you had to be there, but what a moment!
Another fun way to change scenes is by lifting the scenery as though it were so much 2-D fabric: I simply grab a (conjured) edge of the scenery -- usually near its base -- and lift it up, as if peeking under a stage curtain. There is invariably a new dream hiding behind the scenery I pulled away, but the funny thing is whenever I've done this I arrived in a place I was in no way expecting.
Oh, and for some reason flying away never works for me, though I seem to try it a lot during low-level LD's: When I fly I generally just continue along above the same scenery, often with the DC's I just left flying in formation at my sides. Of course, this is just me; your results may vary.
I think, though, that ultimately the best way to change scenes is by simply changing your mind.
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