It was an easy process - I thought it would involve a lot of work but the change of embassy was done during I-130 stage when my wife moved back to USA and myself to UK so we both did paper change of address forms and submitted by mail to USCIS and by the time I-130 was approved and case sent to NVC the embassy had been changed from Sydney to London.
if you’re at NVC stage it might involve more work changing embassy like completing a form, payment of fees, proof of citizenship/residency/employment for country of embassy you want to change to.