I have seen people say this a few times and it's bugging me since I believe it is false (I have never seen or witnessed a Bearded Dragon change its sex) and I'm not sure if anyone else has in terms of scientific research. Feel free to correct me if I am wrong, I just want some clarification.
In all honesty, I think people are misreading an article that came out a year or two ago regarding changing sex during egg development (unless I am the one doing the misreading). Here is a quote from the research article.
But in many reptiles, their sex is the result of temperatures experienced during embryonic development...
"Bearded dragons are a unique model system because high temperatures override their chromosomal sex determination system. When eggs are incubated below 32° Celsius (89.6° Fahrenheit), their sex chromosomes dictate their sex, but for temperatures above 32° Celsius, increasing numbers of eggs develop into females, regardless of their chromosomal make-up (ref). When temperatures reach 36° Celsius (96.8° Fahrenheit), 100% of genetic males develop into sex-reversed (ZZf) females."