I changed both my first names many years ago; if you live in England it's not difficult and allowed so long as you are not doing it for illegal gain.
If I were you I would check the exact details by doing an online search as things might be slightly different these days. However, it always was that Deep Poll change-of-name was for changing your surname. For changing first names, you use Statuary Declaration of Change of Name...I'm assuming it's still called this.
You can easily add a name or change your first names yourself, but it's easier to get an official form stating what you have done. In my case, I went to a solicitor, it took minutes to draw up a form which said I used to be called XYZ but was going to be called XXG instead. I signed in my old name, then signed again in my new name.
Having the form meant it was easy to go to the banks, building societies etc. and get my accounts changed. It was also acceptable for changing my passport and driving licence. Once they were done it's easy to get everything else changed as your passport/licence are used as ID for everything else.
Make sure you choose a name you are happy with (I actually went through a book of names and settled upon completely different first and second names) and make sure you are ready for a "new start". Changing names can be very liberating, it's a new you, a new beginning. I had to be firm with friends and relatives, explaining what I had done....some were bemused but everyone went along with it and now no-one would think any differently. Be prepared to take around a year to completely feel at ease in your new name and to answer to it when someone calls you!
There are certain complications but not many. If I go for a job interview I have to take my form because I have some exam certificates in one name and some in another. It also happens if I have to show my birth certificate, so I need to prove that I am still the same person despite the different name. On some forms I still have to put "XXG but formally known as XYZ". No-one has ever queried it, not even the tax office!
Good luck if you go for it, I have never regretted my name change myself. Being a woman, I found it very empowering to choose my own identity rather than one chosen for me....