Tap the Weather widget on the Home screen, then tap the Menu Key > Settings > Edit city list.
Tap the Add icon (in the upper right corner of the screen) to add another city.
Tap the Delete icon (at the top of the screen) to delete a city from your list.
Touch and drag the handle icon (on the right side of the screen) to move a city to a new position in your city list. This affects the order viewed when you swipe to change cities.