Another good key changing exercise is done with the use of only major scales to start... I start playing around in C major and then at some point it is kind of like musical chairs in that I think to myself "Stop", wherever I happen to land I modulete to the key of F in my mind and try to find a note in the F scale from where ever I am.

Maybe I even land on a note in the next scale when I stop. Then while in F, I will just stop at some point and look for notes in the Bb Major scale. Much of jazz moves in falling fifths, like Blues for Alice as a good example..

Point is that it trains the mind to think through the key changes and then adjust to the new key. It is a practice technique I have adapted from piano. It's alot easier on piano, if you ask me but great for guitarists..

YOu can do this with any mode, like play phrygian and then modulete up a perfect 4th (falling 5th) and so on....