I tried to change my username. Twice! But the amount of time and paperwork and legal hoops to get it done was ridiculous. Plus, the state I was living in at the time required that I justify my change with a court appearance, and the judge would decide whether my reasoning was justified. And I had 30 days to complete the whole process from start to finish or all my paperwork would be invalidated and I'd have to start all over again. Most appointments I needed had to be scheduled over a month out already! Some required 4-6 weeks to process paperwork and get back to me.
Another state I tried it in required I make a formal, public declaration in a newspaper or on a TV broadcast or something. I couldn't just change my username on legal records, I needed to document it publicly for the world to be involved in my business.
So I said "fuck that" and kept my current username. I just tell everyone to call me by my preferred username, as I've done all my life.