UTF 8 only uses extra bytes if it has strange characters. So really, you should NOT change your collation. it won't help. UTF 16 was developed to hold all characters of all languages, and yes, it uses 16 bits so if you were using utf16 I would suggest utf8 if you mostly had standard latin characters. utf 8 is the compromise. it has a special character that means "more bytes coming", and if it sees it, it groups the next ones together. But if all you have is latin characters, the bytes will be exactly the same number as with latin collation.
to answer specifically, you can set the default colation for new tables, but yes, you have to do it for each one of the existing ones. you could do it with an sql statement that lists the tables then runs the sql statement on each, to change it. (change 1 and notice the sql statement). but again, don't do it. utf8 is the standard for a reason. your performance issues are elsewhere.