What Phillip said works for single entities i.e. a single line or block.
If you want to change multiple items you have to activate Edit -> Application Preferences -> Default Tab check box "Modify layer of selected entities, at layer activation.
WARNING: remember to turn this off after use otherwise any selected entity will change layers all the time
If you have the 0 layer selected and then check the box the entity selected will not change to that layer until you click on the 0 layer. So if you want the entity selected to be on that layer and it is select when you turn on the feature just select that layer agai after turning on the feature.
After you have completed all your entity layer changes go back into that setting and unselected the check box.
I hope this helps speed up your layer changing needs.
Note: if you want to just change a few entities such as a block or a few lines not massive amounts of entities then Phillip's explanation is the safest way. If you forget to turn the feature off you could actual create a massive time issue figuring out what entity was on what layer before all the changes. I learned this the hard way, spent days reorganizing a building plan back to the correct layers because I forgot to uncheck the box after moving a detail section over to a new layer.
When you have the will to always learn there is nothing that is impossible....The day you stop learning is the day you need to change your profession.