From `Abdul`Aziz ibn `Abdullah ibn Baz to the dear brother H.M.L (May Allah grant him success), Assalamu `alaykum warahmatullah wabarakatuh (May Allah's Peace, Mercy, and Blessings be upon you!)
This is to answer the question you asked in the letter dated 13/9/1409 A.H. about the ruling on changing one's name after recently converting to Islam to an Islamic name and whether it is obligatory or not.
There is no evidence in Shari`ah that it is obligatory for people who convert to Islam to change their name unless there is a Shar`i cause that requires this. Examples of such causes include using names that imply servitude to someone other than Allah, such as Abdul Massih and the like or using names that are not recommended to give while there are better names such as the names whose meaning imply sadness. Such names may be changed into ones that have better meaning.
Thus, changing the names whose meanings imply servitude to someone other than Allah is obligatory. However, changing other names has to do with what is recommended and preferable.
May Allah grant us all success to do what He likes and what pleases Him, and help us comprehend and adhere to Islam! Assalamu `alaykum warahmatullah wabarakatuh.