You don't need to change defines to change the baud rate. In PBP, the baud rate generator gets set once, at the beginning of the program. Your program can change it any time later by writing to the SPBRG register. I switch between baud rates all the time in my programs.

Just remember - when using the UART, your program writes the output buffer and moves on, which means that you can still be outputting a byte many instructions after the HSEROUT. You should wait at least two byte-times after any HSEROUT command before you change the baud rate.