You would not have to give up your church status in order to give grants to other religious organizations.  So long as your core activity remains worship-related, you are likely to continue to be classified as a church even if you go into the grant-making business.  It would be very unusual to give up your church status, where you don’t need to file any form of tax return and fly under the IRS radar, for one in which you voluntarily accept the much more stringent requirements of a private foundation and have to file an annual Form 990-PF.

If you nevertheless want to change your status, you can either file a Form 990-PF for the first year you want the classification or file a Form 8940 requesting an advance change in status.  If you are intending to make individual grants for study or travel, you will have to get your procedures approved in advance.  In any case, you will want to review your governing documents to be sure that the separate limitations on private foundations are included if not imputed under state law.  If you have claimed church status without filing for recognition, as is possible and often done, you may have to prove to the IRS that you exist, but if you show them the proper paperwork, you should be able to qualify.