To change the lead source in your leads, all you need to do is when you click on a lead, you will go to the edit leads page. 

Once you've selected the lead you want to change, on the edit lead page under the title, you can change the lead source.

Simply click on the drop down box and select the change. Then click on the 'Save' button to confirm, or if you decide that you wnat to remove it, just click on the 'Delete' button. As shown below. 

You can also add new Lead Sources via: Settings > Leads > Custom lead sources > Add