Before thinking about changing component values 'locally' in a design, you need to make a basic choice about whether you are using 'generic' or 'specific' components.
You can either create unique Components for every device you buy, or for some devices such as capacitors and resistors, you could create a generic one of each and simply change the Value field of each to reflect its true value used. You need to decide how you will work, there is no right or wrong way, you just need to work out which method works best for you.
Once you have made the decision to use generic components, changing the value of them is as easy as using the Properties dialog to alter the appropriate value field on the component. When using specific components, you would instead need to replace the component with a different one that has the desired value.