I changed mine some 6 months after joining, i did this because i was daft enough to register with my real name. What with all the drug banter etc i really thought it best to change it due to work etc (random testing). Lol although many still use my name in posts etc (lol please don't do this anyone reading this, as i am para enough already).
I had to ask Butty, and in return he demanded a pic lol to complete the bargain. I had to put an 'artist formaly known as ' thingy up for a few weeks.
Just make sure that you are picking something that you are to stick with.