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 in the properties of each to reflect the true value used. You need to decide how you will work, there is no right or wrong way, you just need to opt for the method which 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 which could be done using the Change button in the properties of the wrong component to avoid losing any connections.

Changing many values in a design can be tedious so you will find on the Settings menu a Component Values entry which opens a spreadsheet style table of all values in the design, each of which can be adjusted.  Values can also be added and deleted as well.  Just press <F1> when in this table for full information from the help file.

In the library manager on the Components tab there's a Values button giving access to a similar table, but this time covering the current library.  Again <F1> will give more details.

Where a component uses multiple footprints (packages) values may be specific to a particular footprint (for instance, part number).  These can ONLY be specified by editing the component, making each package in turn current and adjusting the value before moving on to the next one.