As a matter of fact, I did just that Monday - changed my 37 year long Republican Party voter registration to the Constitution Party.
I looked at it this way:
A major premise of conservativism is that government exists to serve the citizen, not that the citizen exists to serve the government. Similarly, a political party exists to serve the individual, to represent your views in a coordinated, organized fashion; the citizen does not exist to serve the party.
Therefore, when a political party tells you to sit down, shutup, and just vote for whom we tell you, it has become your master, not your servant. It is time then for you to fire your servant for his effrontery, and create a new party.