The current vessels for Wendy are found in the Asylum and Sunflower City. One is in the sex room and needs a code found within the map. The other is inside the garage and needs a code that can also be found inside the respective level.
Just interact with the vessel and you'll immediately put the soul orb into it. The choice seems to be permanent right now so if you want to reset to try the other choices just go erase Possessed Items data in the options. All it does is reset Wendy's state + the haunted doll which can easily be reobtained. Just grab the soul orb again, the safe will still be unlocked, and go pick the other vessel you want.