I'm doing a demo application, and I need the app to be able to connect to different worklight servers. but I can't find where can I change the url
If you are referring to Worklight Adapters - you cannot change the adapter's connectivity properties during runtime. Explained here, here and here.
If you are referring to Worklight Server - I assume then that you are using Worklight 6.0; Right-click on the application folder >> Run As >> Build for Remote Server (further explained here).