Go to an Oblisk, loot drop and there is the option to 'Travel to another server'

When you get to the other server you need an Oblisk or loot drop to retrieve any items you have taken

Handy video tutorial https://www.youtube.com/watch?v=NvN2am5ffww

You WILL get kicked when connecting the the server you are travelling to, this is due to the engrams. Simply re-connect to the server you was travelling to