Yes, you can change your MX records through cPanel:
1. Login into your cPanel.
2. Click on the MX Entry icon under the Mail category.
3. Under the section Change MX Entry you can select the domain you wish to work with.
4. By default, you may leave the Priority at zero.
5. In the field next to Priority, you can enter the new MX server-address that should handle all email transactions for the assigned domain.
6. If you want to enable emails sent from your local server to still reach others on your domain then enable the option to Always accept mail locally even if the primary MX does not point to this server.
7. Hit Change button.
That's it!