For a start you can't change the IMEI with just an app, that's impossible.
Most manufacturers actually go out of their way to ensure it's very difficult to change a devices IMEI or ESN, and it can actually be burned-in to the phone's chip-set. It's unlawful to change an IMEI or ESN in many countries and jurisdictions, e.g. UK "Mobile Telephones (Re-programming) Act 2002" ...punishable by up to five years in jail if convicted.