How to change XFCE to LXDE?

You most certainly do not need a new installation. That would be like doing a new install in order to switch from firefox to chrome. The Desktop Environment is just another program running on the OS. There is no reason why you should not have many installed (I have cinnamon, MATE, xfce, gnome at the moment).

To install a new DE, just install the relevant package:

$ sudo apt-get install lxde

Once the installation is finished, log out. You will be taken to the mdm screen (login screen) where you now can choose which DE to use for your session. The choice of DE is made at the time you log in, it has nothing to do with booting.

To answer your other questions, no you do not need to remove xfce, and no there are no performance consequences to having multiple DEs. The only time it may be a problem is if you have no space left on your hard drive, but that is the case for any program.

And you can always set the default desktop manager that will load straight away on boot. Edit the file /etc/X11/default-display-manager and put the binary of your desktop manager of choice. In the file, I have

/usr/sbin/mdm

which loads mdm by default.