If God tells you something it is your duty to inform your conscience of it.
I see it differntly. Maybe it's just semantics. But I think the correct response to God when He leads, guides, directs, teaches, corrects, and comforts us from the intimacy of our own hearts is to believe what He says and respond as He directs. If He tells us to change denominations, then we should trust His voice and do what He says. If He tells us to not change our denomination, then we should trust His voice and do what He says. If He doesn't say anything to us about changing denominations, we shouldn't concerned about it.
There is no Bible verse that says, "Let your consience be your guide". On the contrary, there are many Bible verses that say things like "Trust in the Lord" (Pr 3:5), "Believe me" (Jn 14:11), and "Walk in the Spirit" ( Gal 5:25). Verses like these point point us to God as our leader and guide and confirm that everyone who places their trust in Him will not stumble or be put to shame (Rom 9:23).
We have an intimate personal relationship with the Lord. He lives in our hearts. There is no substitute for hearing Him and doing as He says. But doing so is not about proving ourselves to be faithful so that in the end we will obtain eternal life. It is about living out the eternal life that He has already given us. And it is about bearing fruit that enriches us and brings Him glory. Proverbs 3:5-6 sums it up well...
5 Trust in the LORD with all your heart,
And lean not on your own understanding;
6 In all your ways acknowledge Him,
And He shall direct your paths. (Pr 3:5–6)
You might be saying the same thing in a different way, but it seems like informing our conscience and letting it be our guide creates a little distance between us and God.