I thought importing private key in electrum will only give me the address I'll import and if I can't specify the change address, where will it be gone?
You can always specify your change address in electrum. To do so, you can use "pay to many" feature and add your change address as one of the receiving addresses.
Let's say I want to send 0.01 BTC to address A and the change to address B. I should fill the "Pay to" field as follows.
Address A, 0.1
Address B, !
Note that you may need using coin control feature to avoid extra inputs. "!" means that send all the remaining balance to address B.