How do I change the domain name of my blog, in WordPress?

I wanted to see if I could get started on my blog, and since I own the domain name PeterForkes.com I created a subdomain (blog.PeterForkes.com) and got it set up.
This morning I bought the domain WhatWhereVegas.com and transferred everything over to the new domain (I think).
If I go to WhatWhereVegas.com I see the main page, BUT if I click on any of the categories it takes me to, say, https://blog.peterforkes.com/?cat=51, which is NOT where the code it – it should point to https://WhatWhereVegas.com/?cat=51

How do I change WordPress to now point to WhatWhereVegas.com instead of blog.PeterForkes.com.

This morning I spent over an hour on the phone with GoDaddy (who host my sites) and they told me that I have to come here.

Please help!!!!