By default there should be an available action called Create Change which will allow you to create a new Change record and it will automatically be linked to the Incident you created it from. In the ServiceDesk.pdf file in the software documentation is a section Parent-Child Linking which has further information on this.
If this action is not available it has likely been removed from the process, so you need to edit the process and add this action back into the available actions at the desired status. More information on this is available in the LDSDDesigners.pdf document also available in the software documentation. These guides are probably available on the community site somewhere as well.