Wait until the light is cool. If you are focusing your stage lights and they have been on for a while, wait until the light is cool before sliding a gobo into its frame on the stage light. You're less likely to burn your fingers and less likely to damage the gobo.
Pull out the old gobo. If there is already a gobo in the light, remove it and take it with you.
Insert the new gobo. Carefully slide the gobo into the frame in your stage light. You may need to refocus the light slightly once the gobo is in to ensure the image is clear and where you want it to be.