Modulation refers to changing keys to one with a different tonic (it doesn't count

if you switch from D major to D minor, for example, but we still notate it the same
way). There are roughly three different lengths of modulation: the tonicization
only lasts for a chord or two (or even three or four); a modulation lasts for a
little while; a key change is more permanent. We'll get to tonicizations in the
next section. With a key change, you generally actually change the key signature,
while with a modulation you generally don't. A march or minuet will often have a
contrasting section in a different key, generally a fourth up; that section is
entirely in the new key and the old key has been forgotten, so it's a key change. A
sonata or symphony, on the other hand, will roam through different keys while
eventually returning to the home key; those are modulations. Those are our concern
for this section.

To denote a modulation, we simply write in the new key and the Roman numerals for
the chords below the ones for the old key, at least until the old key is no longer
applicable. Here's an example, from a classic (and classically easy to play) Mozart
piano sonata, K. 545: