I think I'd say "I need to make changes in my life", although "to my life" is also an option with a slightly different nuance. "make changes in my life" sounds like an internal adjustment. "make changes to my life" sounds like an external adjustment. But since it is "I" and "my life", it sounds like an internal situation, although sometimes we think of ourselves as being outside ourselves. 🤔
You could also say simply, "I need to change my life". That sounds like a more complete change than "make changes in my life".
In any case, good luck with those changes, and your life!