I don't really know, but here's what I'd probably do.
Contact the secretaries of several Chicago psych residency Prgram Directors and try to get a brief 15 min appt. to discuss switching to psych. Have a brief (2 min) argument prepared explaining why A) you believe you're better suited for psych than IM, B) you can make a better contribution to medicine in psych than IM, and C) why you didn't realize all this until now. Then ask for advice on how one might go about trying to arrange the switch. Try to let the PD do most of the talking. When he/she asks you if you are wanting to try to enter that program, have a list of reasons (do your homework - like you did to get the IM residency) why you think that program would be a good match for you, and vice versa. Dress/behave as if it's a formal residency match interview.
I'm hoping others in the forum with more direct experience will chime in.