You can change your stage name by following these steps:

1. Click the drop-down menu 
2. Settings
3. Click 'View' next to the 'Account' section
4. Type in your new name in the box next to "Display Name"
5. Enter your password in the "Current Password" field
6. Hit the blue <Save> button!

You may notice this doesn't effect the name at the top of the Account section. The name that's displayed there is the original username used at signup and can only be seen by you. This can't be changed, as it's your account's unique identifier.