The title says, or rather, asks it all.
Go into the region you're in now. You should notice, just above the UN ranking chart, a link which reads 'move to a new region!'
Click that. The next page which opens up should have a link in the top section which reads 'Create a new region'. Click that, give your region a name, a description, and set whether UN delegates can control the region and whether people will need a password to enter. When you're happy it's done, click the 'Create Region' button at the bottom.
Assuming all goes well, you should be located in your new region when the page refreshes. To edit your regional settings, go into your region and click the 'Enter Regional Control' link which sits just below the region information.