If it sounds like a made up pseudonym, then I don't think it catches on as well. People will ask you if it's your real name, weasel your real name out of you, then choose to call you by your real name. I've seen this happen to people.... everyone disregards their fake name because it's cheesy and obviously not real. If you choose a "real", believable name, and are starting over in a new place (work, school, city, whatever), then it can work. I think even old friend will be more likely to adopt the new name if it doesn't sound like a fake, stage name.
My INFJ changed his first name unofficially because he is a junior & in Spanish they add "-ito" on the end of it to distinguish it from the senior, and he got sick of the kiddy sound it had when he hit his teens. Not to mention, it's confusing in many ways to have the same name as a parent (which is why I think making your kid a junior is incredibly stupid & nothing short of vain). His family moved to a new area when he was 13-ish & he took the opportunity to begin introducing himself with a new name, which even his parents adopted because it had the same first letter & was similar enough to his old one that it almost seemed like a nickname. I understand why he needed to assert his own identity with a new name, and I think he was smart enough to choose one which everyone would accept for him (he "looks like" his new name). I also think it worked for him because of the move to a place where no one had known his old name and because his family went along with it. Now most people don't even know it is not his legal first name.
"Charlotte sometimes dreams a wall around herself. But it's always with love - So much love it looks like everything else. Charlotte Sometimes - So far away, glass sealed and pretty." - The Cure