To change your in-game name, look for the main menu button on the lower menu panel.
Next, click Settings.
You will see your current name in the Personalization section at the very top of the Settings menu. Click Change. Now, type in your new name. You need to use the "Name changer" item to confirm the change. If you already have one, you'll be prompted to use it. If you don't, you'll be prompted to buy one for 27K Gold in the same name change menu.