A mass update is the best option to change the dunning manager in the customer record.
List>Mass Update>Mass Updates
From the General Update action Choose “CUSTOMER”
Then in the criteria provide the Dunning Manager name, which needs to be changed
Then click on the Mass Update field tab
Click on the Dunning Manager option and select the new Dunning Manager name from the list
Take the preview of this
Then click on the PERFORM UPDATE button.
Now, the old Dunning manager in the customer record will replaced with this new Dunning manager