Set shortcuts to change keyboard layout in Windows 10?

Go to Control Panel → Clock, Language, and Region → Change input methods (under Language) → Advanced settings → Change language bar hot keys.

The menu in the accepted answer does not exist in Control Panel anymore on Windows 10 version 1803 (not sure about 1709 and older).

But the same setting is accessible from Modern Settings app → Time & Language → Region and Language → Advanced keyboard settings (from the Related settings section) → Language bar options → Advanced Key Settings tab.

Update: Windows 10 version 1809 moved this setting again. see i3v's answer.

In Windows 10 version 1809 (also versions 1903, 1909, 2004, 20H2), the setting described in the accepted answer is here:

Settings -> Time & Language -> Language -> Spelling, typing, & keyboard settings -> Advanced keyboard settings -> Language bar options -> Advanced Key Settings.

Step-by-step screenshots.

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Known issues

These hotkeys are quite buggy since 2012 or so. They may disappear (the setting is cleared or simply not working) after a windows update, after an RDP session, after logout/login, or even without any obvious reason.

There's one well-known workaround, that usually helps:

Settings -> Time & Language -> Language -> Administrative language settings -> Copy settings... -> tick both checkboxes -> OK.

If you ran into this, you may want to upvote some of these items on the FeedbackHub:

As a regular (non-insider) user:

1. Input language hotkeys keep being reset every time Windows starts

2. language bar hot keys are not reliable: a) sometimes they disappear ...

3. Language bar hotkeys get erased after every RDP session

4. Language bar hot key setting keeps resetting back to default I'm using 3 languages input

5. When I set up language bar 'hot key' shortcuts to switch to keyboards with other alphabets, they are deleted whenever Windows restarts!

6. Language hotkeys keep disappeared by itself every time the system was rebooted.

7. Language hotkeys keep getting erased

8. Windows auto reset language input hotkey in every reboot after I make changes to the setting.

As insider:

1. Keyboard layout switching shortcuts disappear and do not work
2. Hot keys for input languages getting erased on each windows feature update
3. Keyboard layout changes randomly
4. Windows keeps switching the language and keyboard input methods