When adding a new sprint you have the option "This sprint comes after". When finishing the sprint set here, the new sprint will get active.
when you say sprint set does that mean all stories below the sprint? Or does that mean when I close the sprint officially?
When in the stories section you can press More -> Select Complete Sprint. All stories must be complete before being able to close off the sprint. There can only be one sprint currently open. So you have to close the current sprint and then when you create a new sprint this will become the current sprint. Or you can create the new sprint after the current sprint and complete the current sprint to make your new sprint the current sprint.