Motivated by recent advances in vesicle engineering, we consider theoretically the locomotion of shape-changing bilayer vesicles at low Reynolds number. By modulating their volume and membrane composition, the vesicles can be made to change shape quasi-statically in thermal equilibrium. When the control parameters are tuned appropriately to yield periodic shape changes, which are not time-reversible, the result is a net swimming motion over one cycle of shape deformation. For two classical vesicle models (spontaneous curvature and bilayer coupling), we numerically determine the sequence of vesicle shapes through an enthalpy minimization, as well as the fluid-body interactions by solving a boundary integral formulation of the Stokes equations. For both models, net locomotion can be obtained either by continuously modulating fore-aft asymmetric vesicle shapes or by crossing a continuous shape-transition region and alternating between fore-aft asymmetric and fore-aft symmetric shapes. The obtained hydrodynamic efficiencies are similar to those of other low Reynolds number biological swimmers and suggest that shape-changing vesicles might provide an alternative to flagella-based synthetic microswimmers.