For a change of status, the applicant must already be holding a valid US visa. Visa-free travelers, for example, cannot apply for the P-visa. In addition, not all visa categories allow for a status change.
The application for a change of status is to be submitted along with the P visa petition to the US Citizenship and Immigration Services.
We would like to remind you that it is under no circumstances advisable to leave and re-enter the country before your P visa has been approved (by your local US consulate).
The USCIS only approves the P status, it does not issue the visa. This can only be done by the US consulate in your home country.
The change of status does NOT mean you have been issued a visa. If you leave the US and try to re-enter without a valid visa, admission into the country will be denied.
As opposed to other nonimmigrant visas, the P visa can also be applied for at US consulates in adjacent countries like Mexico or Canada. Otherwise you usually apply at a US consulate in your home country.