Unscrew the drill from the air hose with your hand.
Place the drill's chuck key into the hole into the side of the drill chuck. Turn the key counterclockwise to loosen the chuck key. If there is a drill bit inside the chuck, remove it. Continue to turn the chuck key until it opens to its widest point. You can see a screw inside the chuck.
Turn the screw clockwise with an allen wrench. To find the correct size of the allen wrench you need, read your owner's manual. The screw will come out.
Insert the chuck key into the hole left by the screw. Tap the end of the key with a rubber mallet to loosen the chuck. With your hand, turn the chuck counterclockwise to remove it.
Slide a new chuck into place. Tighten it with your hand by turning the chuck clockwise. Insert the screw into the center of the new chuck and tighten it with the allen wrench. Place the chuck key into the side of the chuck. Turn it clockwise to tighten the chuck. Reattach the air hose to the bottom of the drill.