In the Bible, people change names. Two examples are: Abram became Abraham, Jacob became Israel.
In the Catholic Church, a pope picks his new name: Josef Ratzinger became Pope Benedict XVI, Karol Józef Wojtyła became Pope John Paul II.
In the Mormon Church, we are given a new name in the temple, but it is not our choice. Would you like the option to pick your new name like the Catholic Church does, or do you like the temple procedure?