This will show you how to change PIN code for SIM Card in the latest version: MIUI 9.
Instructions for other MIUI versions
Since version MIUI 8 there is a search bar in settings window. You can use it to find settings a lot faster. Simply type in "sim". If you use it now, you can skip right to step 4..
In System Settings tap Additional Settings
In Security section tap on SIM Card name which PIN settings you want to change.
If you haven't changed your SIM Card name it will simply be name of your mobile provider. In this case it is: Virgin
Now using Lock SIM card you can choose if phone should ask for PIN to unlock the SIM Card after each reset or Change SIM PIN option to change or set new PIN code.