As long as you're not seeking to defraud anyone, you can legally use whatever name you like, whenever you like. For example, you can be 'James Smith' on Monday mornings, 'Luke Skywalker' on Monday afternoons and 'Rosemary Brown' on Monday evenings. On Tuesday morning you can become 'Chuggalug Fruit Bat the Third'. All of those name changes are perfectly legal.
However, to keep your bank manager, the DVLA, Passport Agency and other official bodies happy you need to draw up a Deed of Change of Name. (It's usually known as a Deed Poll, although it's actually only one particular type of deed poll).
Where do you go to do it? Traditionally, to a solicitor. However, these days most people initially go to Google. Just search for 'deed poll' and you'll find dozens of firms which will allow you to get hold of the relevant paperwork for under twenty quid.
This link concentrates on some of the concerns about people 'disappearing from view' by changing their name but it also explains quite a bit about how things work:
http://www.bbc.co.uk/insideout/yorkslincs/seri es11/week5_deed_polls.shtml
Chris