when u start a city, u can pick which domain u wish to join. however, many domains are full, so you cannot join those. Also you can have your friend send you a gift from that domain, and it will say something about starting a city in that domain and playing with your friend. However, you still cannot join a full domain.
Also, on the upper right hand corner of your game screen, is the name of your domain that you are in, and next to it is a link that says "change". Click that "change" link.