My journal - Branton

Yes, they change altitude to put themselves into different wind currents. From Wiki:
During the flight, the pilot's only ability to steer the balloon is the ability to climb or descend into wind currents going different directions. Thus, it is important for the pilot to determine what direction the wind is blowing at altitudes other than the balloon's altitude. To do this, the pilot uses a variety of techniques. For example,

to determine wind directions beneath the balloon a pilot might simply spit or release a squirt of shaving cream and watch this indicator as it falls

to determine where possible turns are (and their speed). Pilots are also looking for other visual clues such as flags on flagpoles, smoke coming from chimneys, etc. To determine wind directions above the balloon, the pilot will obtain a weather forecast prior to the flight which includes upper level wind forecasts. The pilot will also send up a helium pilot balloon, known as a met-balloon in the UK and pibal in the USA, prior to launch to get information about what the wind is actually doing. Another way to determine actual wind directions is to watch other hot air balloons, which are the equivalent of a large met-balloon. Pretty interesting stuff.