Your options are pretty much as follows:

1) Play in the first key, and then move to the second on the change
2) Play in the first key, use another key to transition between the two, and then on to the second key, usually a chromatic run or dimished bits to bridge the gap.
3) Play in another key that fits the two you're playing against.

Depends on the music, and your ear really. If you know your diatonic harmony you'll be able to tell whether both keys in question below to another key - in which case you can play in the same key in spite of the change.

Also, depending on what the two keys are, modal shapes can imply keys so you might be able to use those.

If you can be specific on what changes we're talking about, I can gear the answer to your specific if that helps....