How can I change my nickname?

So I’ve had a nickname since birth. It’s just my first and middle initial, and is a typically male nickname. As a woman in my 30s, I’m starting to think it’s odd that I still go by my initials? My actual name is long and actually very versatile, I can think of like 3 other nicknames I could go by.

Anyways, I just don’t know how I would go about like changing it? Everyone in my life knows me as this name. I often get people assume I’m a man until they see/speak to me, especially for work. I just fear I’m stuck with this nickname for the rest of my life. I feel like it would be weird/uncomfortable if I choose to change it. Like how would I go about even beginning to change how people address me?