To set the combination, unlock the luggage lock, and turn the dial to 0000. Pull the shackle out, and turn it to the side, pushing it down and holding it firmly while turning to the desired combination. Once the combination is set, release the shackle, and pull it up.
With the new combination set, move the dials to enable the locking mechanism again. Note that some locks may have a reset button on the side that must be pressed to set the lock combination. Methods to set the combination for a luggage lock may vary slightly by manufacturer, so it's important to check any paperwork provided with the lock or the manufacturer's website for specific instructions.