Wow, the process of changing your location is totally not intuitive. I ran across this and was curious my self, so I looked around...and around...and around...and finally found it. You have to go view your own profile page.
On any page, near the top it should say "Welcome, jseyfert3.", where "jseyfert3" is a hyperlink that is your user name and clicking it will take you to your public profile. Once there, click the "About Me" tab, and there are a number of items, including "Home Town". Click "Edit Value".