For modifying your allowances you'll simply just need to fill out your W-4 again and give it to your employer. You should see the results on your next paycheck.
For claiming allowances you are not legally allowed to claim any more than the restrictions allow, however given your situation--single and not claimed as a dependent on someone else's tax return--you should be able to claim two. If you are claimed as a dependent, you will only be allowed to claim one allowance. To be specific, sections "A" and "B" should be marked as "1" on your W-4 if you are single and not a dependent.
The consequences for withholding too little can be painful, but if you are only claiming 1-2 allowances this should not be an issue for you. The rule is that as long as you withhold either 1) 100% of what you owed on your federal income last year or 2) 90% of what you owe on your federal income for this year then you are not subject to penalties. Additionally, if you make less than 10k for the year then you are exempt from penalties for withholding too little.
Keep an approximate record of how much you should owe for the year, and there's no way this will be an issue (since you can be wrong by at least 10%). The rules are a little different for very high income people, but you are likely not in that situation. And always remember, if your situation changes for whatever reason you can always file a new W-4. But generally it's a good idea to not have more withheld than you need too--you can invest (or simply just save/spend) your money without having to wait until next April to get it.