This is the right place, but it seams easier for people to help if they know your device as pretty much every settings screen is different for every device manufacturer.
For instance in my G4 I can:
- Go to Settings
- Go to Display
- Go to Lock screen
- Select from (None, Swipe, Pattern, Pin, Password)
As it seams None is disabled for you, I'm guessing you had an app installed that required an Administrative rights.
Go to settings -> General -> Security -> Phone administrators -> Remove the app that made you set the screen lock from the administrators list
(Or if it was a certificate from an app, go to Certificate Management and clear credentials)