Find "Passcode"
Press Settings.
Press Passcode.
Enter lock code
Key in your lock code.

Change lock code
Press Change Passcode.
Key in your current lock code.
Key in a new lock code.
Key in the new lock code again.
Key in your current lock code.
Key in a new lock code.
Key in the new lock code again.
Return to the home screen
Press the Home key to return to the home screen.