I've seen users such as Shiny and Kurusu change their username. How exactly do you do that?

This is accomplished by asking Cat http://victoryroad.net/member.php?u=1
You'll have to have a good reason if you'd like him to change it ;]

I have a suggestion for name change, to add a button that would let you put in what ever you want your name to be and then an Admin must approve.

Adding on to PRS's post, it also helps if you're a user that's not that active.
That way people aren't confused with your username change.

Mission Completed, username has changed! I need a mod to lock this, now that I no longer need any help for changing my username.