Go into 'Network' in System Preferences. You should see your 'Built-in-Ethernet' and 'AirPort' connections in the list on the left with green lights.
Whichever is at the top is the default interface. To change it click the cog and select 'Set Service Order' then you can drag them around into the preferred order, then click 'Apply' to active the changes.
You can check this in the terminal by looking at the default route for connections. Do this
In this example 192.168.0.1 is the router and the last field indicates the interface being used. In this case 'en2' is the wireless card on this machine.