The given sentence is in Direct speech.It has multiple forms of pronoun and possesive adjectives. So to change the sentence into Indirect speech, the pronouns are changed according to the subject of the reporting verb.
In Indirect speech, the sentence becomes- She said she wanted to consult her parents. The form of pronoun of subject (she) remains same and the other pronouns 'I' and 'my' are changed to 'she' and 'her' respectively.