So I talked to a few Apple employees and yes you can do this, it has to be set up before your 14 day return period ends but you still have to wait for the band to ship and different bands have different time frames.
I have a Milanese Loop band on order since 4/10 with a June ship time frame. I was told that since I already have my order placed I can just keep that because if they have to order it for me it will push me back in the queue (people swapping bands don't have priority, they start at the back of the line). If I request for a band swap, once my order arrives in June Apple will give me a $50 credit/refund for turning in my black sport band.
The other method is to request a band swap and pay the different (if any), currently the black sport band has a May ship date, so you'll have to wait a 2-4 weeks for that to ship.