How do you configure Texmaker to use LuaTeX?

If you want to permanently switch from pdflatex to lualatex, see Joseph's answer. If, however, you want to be able to use both, you need to add a user-defined command. From the menu, User -> User commands -> Edit user commands opens a dialog box. Choose a name (eg "LuaLaTeX" for the command) and use lualatex --interaction=nonstopmode % for the command itself. This command is now available form the menu or as Alt+Shift+F1.

Normally, lualatex should be in your command search path (given by the PATH environment variable), but if it isn't, you need to specify the full path to lualatex. Check the path for pdflatex in the preferences: lualatex is most probably in the same directory.

From the Preferences menu entry (location platform-dependent), you should be able to change the 'PdfLaTeX' line changing <path>/pdflatex to <path>/lualatex. Usually, <path> will be something like /usr/local/texlive/2010/bin, or /usr/texbin on the Mac.

Another way is to use arara. It is included in TeX Live from version 2012, so those with recently updated TeX Lives will have it available. Other users will have to install it manually.

To use arara from Texmaker see Integration of arara in Texmaker. Having installed it, and configured Texmaker, one just has to add for example

% arara: lualatex

at the beginning of your file, and compile with arara. See Tools for automating document compilation for another example.