A scenario – the first over of an innings and the captain has set two slips, a gully, point, cover, mid off, mid on, mid wicket and a fine leg.

The bowlers first two balls are outswingers and the batter plays and misses both. Should the captain contemplate a field change and what would you suggest?

I'd suggest taking cover out and putting in a 3rd slip

It would seem the perfect time to have a third slip put in. I would leave the mid-off area open, maybe have cover come a bit straighter. Given the ball is swinging it is harder for the batter to hit it straighter, squarer with the swing being more likely. Basing this answer on a right hand batter and the play and misses are on the outside edge of the bat.

i would give it a couple more balls before changing the field. possibly consider moving mid wicket to forward square leg and mid on a few metres squarer to leave a gap and encourage the batter to hit against the swing.
if the play and misses are drives, consider moving cover to third slip, point to cover point and mid on a few metres squarer so the batter is encouraged to drive through cover. but you can still stop singles.

I would have no hesitation in taking out the cover and adding another slip. Leaving the gap at cover will encourage the batsman to look for runs in that area, increasing the chances for an edge behind.
If the bowler continues to bowl good out swing I would also consider a second gully or backward point in catching range.