To be able to change the Two-Factor authentication method you are using, you need to first deactivate the current method you are using, then enable the other authentication option on the other device you want to use.
Example: from a Desktop to a mobile device, all you need to do is deactivate the current method first, then enable it on another device.
SMS Two-Factor Authentication (2FA) to Two-Factor Authentication (2FA) via an Authenticator app is being used an example as below:
Desktop/Any other device
Click/Tap on Enable 2fa with an authenticator app.
Scan the QR Code or enter the code manually.
(If you are going to enter the code manually, you will need to click the link under the QR Code that states: Unable to scan? Try entering the code manually)
Input the 6-digit code that shows on the authenticator app.