To change your Behaviour Account nickname, you will need to sign into your Behaviour Account here. Once you've signed in, click on "Account Details" on the left-hand side of the screen.
Once on the Account Details page, click the pencil icon next to your current nickname:
From here, simply enter the nickname you wish to use and click on "Save Changes" at the bottom of the Personal Information panel.
Note: You are only able to change your nickname once every 24 hours - so ensure you didn't make any typos!