Place a pole diagonal in the center of the ring in the way you want to change. Start out with a trot. Let's say you're working on changing from left lead to right lead. Trot towards the pole and exaggerate bending him left. When he steps over the pole, exaggerate his bend to the right but make sure he's still going straight. Once you do this a couple times, come around again but this time switch your bend and then ask for a canter as you go over the pole. Do this a few times. Then you can try cantering it... exaggerate left bend on the left lead, then when you reach the pole, switch your bend and add your left leg behind the girth as if you were asking for the canter from the trot.
Depending on how quickly he learns, after a few workouts he should be able to witch his lead in the center both directions with no trotting and no pole!
Every ride, good or bad, teaches you something new.