This is actually a 2-part process, not just a setting in the CONFIG bits but also within your program initialisation...
Go look at the DATASHEET section 2 for Ocillator Configurations, scroll down to the OSCCON Register settings... within your program you must set OSCCON for the speed you require as you've got 8 selections from 31kHz to 8MHz (default I believe is 1MHz). So within your program you must set something like...
OSCCON=%01100000
...and if you have timing critical functions, then follow that with...
WHILE OSCCON.2=0:WEND
to ensure your program pauses there until the Oscillator is stable.
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