Big Cat, I need you to do two things.
First, click "About Me" on your profile (directly above), then click the yellow pencil next to "GamerTag", update it to your new GamerTag and save changes.
Secondly, click "HelpDesk" on the top right corner, click the second choice which is "Request Login Name Change" type in your GamerTag EXACTLY as it is spelled with capitalization and what not then submit the request.
Thanks, FaceUp!