Pcbnew ->Preferences, and here Footprint Libraries Wizard and Footprint Libraries Manager.
You can select Global libraries for all your projects or Project specific ones.
I usually work with Project specific libraries, but this is anyone's choice. I select the library before assigning footprints with CvPcb.
But if you have already read the netlist and you have all the footprints on the board, it is possible to change them. Right-click on a footprint, Footprint Ref on Layer.Cu and at the bottom of the menu, Exchange footprint(s).