You can pour the current oil from the lamp back into its original bottle with the funnel provided or use up all remaining fragrance in your lamp by running it until it goes out of its own accord.
Remove the Stone/Wick assembly and allow to this to air-dry overnight on a piece of kitchen paper.
At this point it is quite safe to simply change to the new fragrance (prime the lamp again for 20-30 minutes before lighting) - initially you will smell a small amount of the old fragrance as well, however this will quickly disappear.
However, if you would prefer to have no mix of smells at all, fill the lamp with about 50ml of un-fragranced neutral oil. Allow it to prime, and then run the lamp until all this un-fragranced oil is used up. Your lamp is now cleaned of the previous fragrance you used and can be filled with your new choice of fragrance.