How do I change an expense to a transfer?

you can't. but you can still move the value to another account just edit the expense and change the account it goes to

Handling it that way leaves the transfer as an expense when you generate reports. If the two sides of the transfer don't both link as transfers, you should delete both transactions and create an actual transfer using the + icon. 

I'm a little late to the party but wasn't satisfied with the complexity of the provided answers.  The easy way to fix this is to go into the banking tab, click the account where the transactions are listed, choose the "categorized" tab to see all transactions already categorized, find the transaction, then click undo to the right of it.  Now go back to "for review" and change it as normal. 

This will not work if you already reconciled the account

this worked!

Thanks this worked for me. I often come across Transfers categorized as Expenses. This was SUPER helpful