When I was taking the test, I wondered about this as well.
So one practice test, I wrote down on a scrap paper every question I changed after my initial answer. Then, I went back afterwards and checked to see how often I changed things correctly vs. incorrectly. It was good data to see firsthand and the results will make you either feel better about your gut or feel better about changing your answer. That's not to say you should ALWAYS do whichever of the two yields the most correct answers.. but I certainly went into the test predisposed to keeping my original answer if I was torn between two because of the data I collected.
It's tough to say whether you should or not as a rule, honestly. Try this for yourself (because now you'll realize all those times you changed and got it correctly) and see what works better for you.