Do you have to have a magickal name? Many covens require it as part of the initiation process, but otherwise, no. I decided to have one mainly as an internet alias for when I'm posting on news groups, etc.
How do you go about deciding on your own? Very simply. Take the time to think about/meditate on what is most important to you in your path or what you feel is the best verbal form of how you would describe yourself. Online baby naming websites are great ways to find a name, too, because you can look up all names that match a specific meaning. Here are some links:
BabyNames.comFirst Names and What They Mean
Eponym: links to cultural name sites