There may be more to it depending upon the specifics of the type of game you have created, but generally speaking you can go to Game Settings > League Settings > League & Teams and - assuming you have your minor league selected in the dropdown that's under the big green "Continue" button, you'll see your league's teams on the lower left of the panel, and from there you can change/assign affiliates.
To be clear, if you wanted to change a Pacific Coast League's major league affiliate, you would want to select the PCL as the league. IOW, you accomplish this by changing the minor league team and with whom it's affiliated...
Hope this helps!
