Is there a difference between change to and change into?

Both can be natural. The 2nd is more limited in use, as referring, for instance, to clothing. We will need a specific context before we can comment on their difference.

Thanks. Let's assume that we're coloring some pictures using the crayons. After using a red crayon to color a monkey, I say "Let's change to/into another color to color this lion. Which color do you prefer?" My question is : are they the same in meaning?

No, 'into' is not a native choice there; only 'to' is natural.

Thanks. Does "change into" mean transform, a form-modification? Like the sentence: the witch changed into a lovely woman. When "change into" is used to mean "give up one and choose another", should the object only be clothes? (I am sorry. I cannot change the format, because the format icons don't appear in my place. So you will see the sentences are very compact between each other.)

Try hitting the return key on your keyboard when you wish to begin a new line.

Change into = transform, yes, and it also means (perhaps idiomatically) to switch to different clothing: 'I changed into my tuxedo after I arrived at the wedding hall.' I am not sure what other thing it might apply to; nothing springs to mind offhand.

Thanks very much.Stephen