The way to change from Average to FIFO is through Items-IN-L-I (Change Costing Method).  As you discovered, you cannot change through the default menus

You aren't going to get anything different than you have now.  If you change from Average to FIFO, the program creates a single FIFO bucket of all your on hand inventory at the current average cost.  You will only see the effect of FIFO transactions moving forward.  It does not try to reconstruct the current value based on past transactions.