Not really a problem??

Unfortunately you can not change your Gamertag without making a new Playstation Network ID - Alternatively if you life in Japan you can change it - Stupid that they did not allow it globally but that is their decision;

To delete your current account;

1. Change your email for a false one
2. Go to the booton left of the xbl and create a new user
3. Select your old user name and press triangle then deleted
4. Make a new PSN ID with a different user name


Good luck;

Blazamane