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The first sentence of each row is direct speech. The second one is reported speech.
The modals will and can change in the reported speech. But I am not sure what to do with should.
"I will go to Europe." — He said he would go to Europe.
"I can play the guitar." — He said he could play the guitar.
"I should go to college." — He said he [should] go to college.
The word you're looking for is shall; but you've got it backwards. Shall is the strong (more definite--this isn't about tense) form of should. So, it should be more like this:
"I will go to Europe." — He said he would go to Europe.
"I can play the guitar." — He said he could play the guitar.
"I **shall** go to college." — He said he [should] go to college.
Here's another way to phrase that:
I *think I should* go to college.
I'm not sure whether you're asking about American or British English, but in American English, shall is very uncommon. It's much more frequently used in the UK.
Americans would be more likely to use should for both forms; but we sometimes use ought to, must, or have got to instead.
If I were to say to a native speaker of American English, "I should go to college", the listener would understand me to mean "I ought to go to college".
If he later reported to a third person what I had said to him, he would say, "Tim said he should to go to college". The reported form would not differ from the direct form.
In everyday American speech, "shall" + verb is rarely used as the future form of the verb; in fact, when speaking, "will" in non-contracted form is not very common either. Most people say, "I'll see you tomorrow" not "I will see you tomorrow" — not unless they were trying to be emphatic, and in that case, the word "will" would be emphasized. "Please stop worrying. I will feed the dog while you're away". Strong intention would be reflected in the emphasis placed upon the word. But the form of the word would not change.
