What is the way to repent from the sins and major transgressions we have committed in Western countries?

If the questioner realizes the gravity of the sin he committed, he must hasten to sincere repentance, which includes abandoning the disobedience, regretting it, and resolving not to return to it. If his repentance is accepted, Allah will forgive him. And if his presence in that country necessitates him falling into the forbidden, then he must leave it, for a person's religion is his most valuable asset.