This article does a great job talking about the different replication options with Azure Storage: https://azure.microsoft.com/en-us/documentation/articles/storage-redundancy/
My general rule of thumb: I like LRS for my VM hard drives, it provides higher throughput and is the least expensive, and I typically have workload specific backup/HA/DR for them. I like RA-GRS for my backups, as it allows me to read the secondary’s and do DR drills any time I need, without touching anything in the primary Azure region.
Step #1: open your storage account in the portal and identify what replication is currently enabled. In this screen shot you can see I am using LRS.
Step #2: go to configuration, select the new replication level, press save.
Step #3: Done! Verify the change. Depending on the amount of data in your account it might take a bit of time to get everything synced up.