Firestorm and Singularity
These all now implement the drop-down to the right and/or below the login details (called "Grid" in Firestorm and "Grid or Login URI" in Singularity). However, the first time that you log into a new grid, it won't be in this list, so you'll need to add it.
There is a button called "Grid Manager" in Singularity and Kokua. In Firestorm this is missing, so you need to go to Viewer (top tab) > Preferences > Opensim > Grid Manager to achieve the same thing. Here you can add a new grid by entering the Login URI as follows, e.g.:
https://oceangrid.net:9002 (secure, recommended)
http://oceangrid.net:8002 (insecure, no longer recommended)
In Firestorm, this is done in the box marked "Add New Grid and then selecting "Apply" and "OK", whereas in Singularity you need to select "Create" and then either "Apply" or simply "OK".
That's all you need to do! Now log in as usual.