Ah... gotcha... well, your doing it right but that is NOT how you change an extension number. Once an extension has been associated with a MAC address of a phone via PIN registration, it can only be changed in system programming.
You have to log into the PBX and go to Form 9, find the extension it currently is and delete the MAC address first, then the phone should immediately go back to "Please enter PIN" prompt, then enter the access code and extension and press HOLD and you should be good to go.