How to change Starbound character difficulty?

You can't change the difficulty by design after you create the character. But if you don't mind cheating these official rules, you can find your character save file in this folder (or its equivalent in other OSes):

C:\Program Files (x86)\Steam\steamapps\common\Starbound\storage\player

Open the desired player file (you can figure out which one you want by looking at last modified date) with Notepad++ or a similar text editor which lets you see the special characters. Difficulties will look like this:

Note the ACK in Casual difficulty. This special character is important because it won't work if you just type "casual" in a regular text editor and leave the invisible BS before it. The game won't recognize the player file, but it won't delete it. You can just edit back or use Notepad++ to fix this.

In addition to savegame hacking, there are also various mods available which enable/disable certain difficulty-specific features.

For example, there are mods which enable hunger on casual difficulty or disable pixel and/or item dropping on death. So when there is one specific aspect of the difficulty level you've chosen which bothers you, you can change that one aspect through modding.