How to change index of a for loop?

For your particular example, this will work:

for i in range(1, 10):
    if i in (5, 6):
        continue

However, you would probably be better off with a while loop:

i = 1
while i < 10:
    if i == 5:
        i = 7
    # other code
    i += 1

A for loop assigns a variable (in this case i) to the next element in the list/iterable at the start of each iteration. This means that no matter what you do inside the loop, i will become the next element. The while loop has no such restriction.

A little more background on why the loop in the question does not work as expected.

A loop

for i in iterable: 
    # some code with i

is basically a shorthand for

iterator = iter(iterable)
while True:
    try:
        i = next(iterator)            
    except StopIteration:
        break
    # some code with i

So the for loop extracts values from an iterator constructed from the iterable one by one and automatically recognizes when that iterator is exhausted and stops.

As you can see, in each iteration of the while loop i is reassigned, therefore the value of i will be overridden regardless of any other reassignments you issue in the # some code with i part.

For this reason, for loops in Python are not suited for permanent changes to the loop variable and you should resort to a while loop instead, as has already been demonstrated in Volatility's answer.