To change the Warehouse that will fulfil an order, please follow the steps below:
Go to Orders, then Overview.
Search for the order and then select the checkbox on the left-hand side.
On the Bulk Actions menu, select Move To Warehouse, then press Go.
In the box that pops up, select your chosen Warehouse from the dropdown, then press Go.
You will see the updated Warehouse against the order on both the Overview screen, and by going to Actions, then Details on the order.