I changed to the EU scheme from the UK one a couple of weeks ago (company relocation).
To change to the EU membership, you can just go into the Change Details part of the site once you logon, and change the address (work or home) and then select which one of these you want to have mail directed at; if the new address selected is not in the UK, the system changes which scheme you are enrolled in. The changes should work within a day or so. If you do it on paper, BA say it can take upwards of 4 weeks.