SnowMan, You still need to click "Help Desk" on the top right corner, click "Request Login Name Change" type in your new GamerTag EXACTLY as it is spelled with Capital and Lowercase letters, then send/submit the request.
DcSnowManSniper, I need you to click "About Me" on your profile (directly above), then click the yellow pencil next to "GamerTag", update it, then "Save".
You need to update your "XG Rank" to do so click "About Me" on your profile (directly above), then click the yellow pencil next to "XG Rank" Update it and Save.