Newer Versions of Xcode
According to the Xcode documentation says that you can select your project in the lefthand panel and then open the properties inspector. By editing the project name, you’ll be prompted to renamed targets etc.
Original Answer
I’m not sure exactly what you are asking, so I’ve given two parts to my answer.
To change the display name of your project, (under the icon on the home screen) you should edit your Info.plist file in the Resources group of your project. Change the Bundle Display Name key. Make sure that you save the plist file and that you’ve deleted the old app from the simulator. Then, clean your build and then you can build it again to the simulator.
To change the name of your project, target and executable, click on Project -> Rename... in Xcode.