Wouldn't the changing of a link in one's signature be done the same as changing anything in one's signature? Not having a signature, I can't say for sure or anything, but I would figure you'd just go into your "User CP" and click on the "Edit Signature" link on the left side of the page, and then change it up in the signature construction box, which looks exactly like a post construction box to me when I checked just now. And of course, be sure to click the "Save Signature" button.
Is it that you've tried to do this and for some reason it's not actually saving the new sig?