To change the PIN codes of a SIM card, go to SIM -> Change PIN1..., or SIM -> Change PIN2....
Enter the current PIN and press OK. You can minimize the chance of entering an incorrect PIN by accident, if you check the Show option. If the PIN you entered is correct, SIM Manager will ask you to enter a new PIN, and then confirm your new choice.
Note. If the code you entered is incorrect, you can try to enter it again. The bottom right corner of the window notifies you how many entry attempts there are left, several (usually three) unsuccessful attempts in a row will block the SIM card (you can unblock it later with the PUK). Keep in mind the fact that the number of attempts is limited; entering an invalid code will decrease the number of attempts by one and change the labels' style to bold red.