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The attribute set of each product is fixed in Magento, therefore changing the set is not supported.
If you want to change the attribute set of a product anyway, here are two ways to approach this task:
Create a Backup of your shop before you approach any of these solutions!
A. Create a local copy of your products with cobby, delete the affected products, create the products anew using the local copy of the data:
load the products in cobby,
copy and paste the table headers of the old attribute set into a new sheet (use paste values!), then copy the whole rows of all affected products underneath it (also use paste values!).
save this sheet in a new local workbook.
remove the Product Key of all products in your new sheet,
open the Magento Admin Panel and delete all affected products.
Otherwise you will need to use a different SKU in the other attribute set and this new SKU will also need to be set for Up-selling, Cross-selling, Associated Products et cetera.
Close Excel, then open the sheet you have saved in #3,
set the preset in cobby to Default, then load products,
navigate to the attribute set you want to save the products to,
copy and paste your product data to the end of the table block by block, while keeping an eye on the table headers. The sequence of the table headers will likely differ from the old attribute set.
B. Install an extension that removes this limitation of Magento:
On the plus side this is probably the fastest solution, there are risks though:
Every product you move this way will carry orphaned attribute data
Data integrity might suffer due to values being present where non are expected
This article is provided as is, use at your own risk, we don't offer support for either of these solutions!