Immigration NPC's are located in each of the three Main nations.
Speaking to Beriphaule (Northern San d'Oria C-9), Mythily (Metalworks J-8) or Rakano-Marukano (Heavens Tower) will allow you to pay a certain amount of gil based on the current Conquest standings for the nation you want to join. Paying this Immigration Fee will allow you to change your home nation. Note however that when doing so your rank, conquest points and OP Warps are not taken with you to the new nation. They are stored for later if you return to the nation you are leaving.