Hi,
In this scenario skip the setup wizard and go to wireless settings to change them from there. If you're connected straight through WiFi while you're changing it, after saving newly configured settings you will be disconnected.
If you're using WiFi station mode as your main WAN, also remember you have to connect some kind of WiFi access point before you can get any internet connection. (And make sure your LAN Local IP and DHCP subnet is different from the access points because if they're the same, your subnets going to clash).
EB.