Unfortunately, TouchWiz (the homescreen software your phone uses) doesn't support 'infinite loop' for homescreen scrolling. This means that once you reach the edge, you can't go anywhere else but the opposite way. You can, however, decide which homescreen is your main one (right now, it should be the leftmost one because of how TouchWiz is configured by default), but if you enter Homescreen Editing Mode, you will see a little home icon on top of each screen. The one with the lit up icon is the one your home button will go to, so you can have several homescreens to the left or right or that. However, once again, when you reach the edge, there will be nowhere else to go.
Some of us opt to replace TouchWiz with what is called a third party launcher, which allows you to have a different look on your phone's homescreens and, sometimes, more configuration options. For example, one of the most popular ones is Nova, which has a 'flatter' look than TouchWiz, but allows you to customize the grid size, have 'infinite loop' on your homescreen scrolling, and the ability to download and apply icon packs to give your phone a different personality. The one I use is Themer, and it REALLY changes your phone. Not only icons, but gives it a whole new look. I just love it, but it's not everyone's cup of tea.