We don't need to change the tense, though probably we do need to change the 'person' from 'I' to 'she', for example. We just put 'she says' and then the sentence: ( Click here for more about using 'say' and 'tell'.) If this verb is in the present tense, it's easy. We use a 'reporting verb' like 'say' or 'tell'. Later, maybe we want to tell someone else what the first person said.
When do we use reported speech? Sometimes someone says a sentence, for example 'I'm going to the cinema tonight'. Click here to download this explanation in PDF. Click here for a list of reported speech exercises.