At the top-right corner of any page on Discogs, click on the drop-down menu next to your profile picture and select Settings. Click on the Buyer menu tab on the left side of your screen, and fill in your new info in the Shipping Information section.
After updating your address, remember to scroll down to click "Save" at the bottom of the page.
Please note: that updates will only appear on new orders, not on any existing order pages. You will need to communicate any changes to those sellers in the conversation on the order page.
Make sure that your Discogs and PayPal shipping addresses match! Many sellers will send to the PayPal address in case of a discrepancy.