I remember reading that he changes into the last animal he saw. He is a true were and not a particular type; a werewolf will only change into that animal, a werepanther only into a panther. Being a true were, Sam can change into any animal, but it will be whatever he last saw (I think if my memory is correct). I guess he could keep an animal book handy and just open it to whatever page he wants... but I think that is why he also keeps a dog around. So, that when people see him, they just think he is Sam's dog.