The good news: I just ran this twice on 3 of my characters, it seems to have worked perfectly. (Why twice? Because I had 3 characters called 'New Character', I had to give each a unique name then run the game to find out who was who, before I could give them the names I wanted!)
The bad news: you have to download and install a Python interpreter, modify a system and be familiar with running things from the command line, all a bit heavy duty just to change the names of some characters.
As it's about the only was of doing so at the moment, thanks to Dej for providing it!
Have trouble running Grimrock 1 or you're wondering if your graphics card is supported? Look for help here.