Up to Android Studio 4.2
Go to File > Project Structure > SDK Location. The third field is "JDK Location" where you can set it. This will set it for the current project.
To set the default for new projects, go to File > Other Settings > Default Project Structure > SDK Location and set the "JDK Location".
Android Studio Arctic Fox (2020.3.1)
In the Canary 14 of Android Studio Arctic Fox (2020.3.1), the JDK Location setting is moved to:
Settings > Build, Execution, Deployment > Build Tools > Gradle > Gradle JDK
Older Versions
Go to File > Project Structure > [Platform Settings] > SDKs. You'll need to either update you current SDK configuration to use the new directory, or define a new one and then change your project's settings to use the new one. This will set it for the current project.
To set the default for new projects, go to File > Other Settings > Structure for New Projects > [Platform Settings] > SDKs and set the SDK to use when creating a new project.
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