First, you need to confidentially inquire and find an open position somewhere. However, you need to be very careful that word doesn't get back to your program. If your PD is cool, you could have him/her help you find a spot somewhere (i.e. spouse's job is making you relocate, etc. rather than you are just unhappy there).
Once you find your new program you need to break the news at your current one. Also, you need to review the ABA rules which I believe that that something like your last 16 or 18 months of training need to be at the same institution (i.e. no transfering after CA 2.5). You should doublecheck that.
Also, you need to carefully think about this decision because it may bring some negative connotations that will haunt you forever.
It really depends on what you are telling your program. If your desire to relocate isn't due to some major personal matter (death, dying, dismemberment of a family member. marriage. etc) then I suggest you follow stimulates advice.
On the other hand, if it IS because of something changing in your personal life then feel free to tell your program. Your PD will most likely try and help you get into another program