Normally, you would just change the folder name through your FTP client, but WP doesn't like you changing folder and file names after you've uploaded them. I almost always rename my themes, and what I do is rename the folder for the theme locally (i.e., on my hard drive, before I upload it to the server). I also edit the CSS with my new theme name. If you do the edits before uploading to your server, WP should be okay with it.