If the order has been placed but you accidentally chose the wrong ship to:
1: As soon as a Sales Order is authorized you will not be able to change the address for tax reasons. So you will need to go through the links and delete the line off of any outstanding documents that are linked to the lines (i.e. packing slips or invoices).
2: Deallocate any items that have been allocated to the order.
3: Copy the order so that you can change the address on the new outstanding order and archive the incorrect one.
4: Then proceed as normal and your items that you freed up by deallocating will allocate to the new order once authorized.
Alternatively, if items in the Sales Order are already marked as delivered:
1: Process a return to stock and credit for the order
2: Then copy the incorrect order.
3: From there you may change the address on the outstanding Sales Order and process it with the correct information.