Rename Your iPhone
Everyone may know this how-to already, I guess, except me 
Actually I’m a little shame of myself ‘coz it’s about 3 months ago when i got my iphone.
I found the answer from one post from Apple Support.
Renaming is done by iTunes, other than iPhone itself. See the picture below and you’ll get it immediately.
After renaming iTunes will automatically sync with the iPhone at once.And after that, you are done.
BTW, my iphone is ff 1.0.2 and iTunes is 7.3.0.54.