In case you missed the news, changing your PlayStation Network ID is now possible. That said, you may not want to do it immediately though. Instead, you should check if the games you play will be affected by it.
PlayStation Asia recently has published a list of games that were tested for problems with the ID change. Previously, Sony has stated that games published after 1 April should not have problems but there are not many of them around.
The list from PlayStation Asia is actually quite handy since the games are being labelled according to three categories: No Known Issues, Issues Identified, and Critical Issues. The latter is especially important because some of the issues include loss of game progress, as well as premium currency if the game in question has such things.
Meanwhile, don’t forget that while it is now possible to change PSN IDs, you still can’t change it all the time though. Do note that, the first change is free of charge while subsequent changes will cost you RM40, or RM20 for a PlayStation Plus subscribers.