I thought it was still there.
Click the MY PROFILE icon. Go to Settings.
Under Account Details, it should list:
User Name *
First Name *
Last Name *
Email *
Last time I did a user name change, it had to be approved by G&G Admin (it was done within a day when I did mine).
As I have not had to change it since, I have not had a reason to see if it still works.
IIRC, the option was also not available until you have either been on the forums for x-days or had posted x-times.
Tis another reason we have been asking for a FAQ section for the G&G forums to have these questions answered.