They usually come in pairs (one thermostatic valve and one lock sheild valve), so it is better to change both. You can fit the TRV (thermostatic radiator valve) on whatever side suits.
One to thing to note is the valve comes in two parts, the tail which is the part that screws in the radiator and the valve which fits on the pipe. All new TRV packs will be 1/2 inch all round. I.E where the tail meets the valve will be a 1/2 nut.
On some standard valves the connection where the tail meets the valve is 3/4 inch. If the valves you currently have are of the 3/4inch type you will have to change the tails aswell. If you already have 1/2inch tails you may get away with just changing the valves.
The job is pretty easy, just drain down system fully, (open vents on rads when draining, remember to close again before filling). When you have it drained down you will always have some water left so cover area your are working in with towels to protect floor. water will be very dirty. When you are refilling add an inhibtor to the system (such as fernox etc) to keep it protected.