It is very easy. Right when you gain control of your character, you go to the menu (ESC on PC) and select "Respawn". On default difficulty that will drop all your items and equipment, but fortunately you don't have any of these yet. And now you can select one of the eight possible respawn point. When you hover the mouse over them, the game tells you how the Pal and resource density is, with the default location having 5 stars in both, while other locations are a bit more difficult with fewer stars, just 2 in the hardest places.

Starting in a different location is great when you want to play a second or third game of Palworld. Or if you want to play multiplayer with not everybody at the same location. The multiplayer limitation to a maximum of 32 players on a large server in 8 teams of 4 is obviously tied to there being 8 starting locations. Different starting locations have potentially a different mix of Pals in the vicinity, although I think you will always be able to find the cat, lamb, and chicken close by. Harder locations have you run into higher level Pals earlier in the game, which does have advantages and disadvantages.

Note that there are fast travel points in the vicinity of each starting location. So what you could also do is visit each of them, claim the fast travel point, and then use the same respawn mechanic to travel to the next one; then you can choose your final real starting point and have a game with already a lot of fast travel points unlocked. If you are already further into the game and want to do that, you either need to store your gear and resources before doing this, or turn the loss of gear and items off on death off in the world settings.