Unfortunately at the moment there’s no way to change Warlords in Blood Brothers.
This is a feature that should really be implemented because when you’re starting to play you actually have no idea what each of the Warlord’s skills do and you might end up deciding on a terrible underpowered Warlord (something that happened to me as I chose the Purple Knife based mostly on her nice looks).
Still there is an ongoing thread at the Mobage’s forums which you can visit here where more than 350 players have voted for this feature to be implemented. According to a community manager “The game team has received this feedback and are taking some time to figure out what they could do about it.” so if you want to help our cause you can drop a vote for the implementation of this feature as well and hopefully it’ll be added on a future update.
By the way if you’re just starting to play you must definitely pick either Phantom Lancer which has a really strong aoe attack of the Black Brute whose special is a 1-shot enemy familiar kill like 99.99% of the times. Those are the most overpowered warlords available at the moment.
UPDATE: While you can’t still change Warlords you now have the option to teach them new skills. In order to do so you need to have a familiar at level 99 with the skill you want to teach it and pay 100000 gold. The familiar you choose will be gone so don’t bother upgrading his skill proc percentage or evolving him to Tier 2 Epic because it won’t make any difference to the skill your Warlord will gain.