Is there a way to chang my screen name when playing the games or do I have to sign off and create a new accoun

Answer 1

For Yahoo games, when you sign in it'll show:
Welcome, ___________ [edit]
Just click on the edit button and you can create up to 4 other screen/user names to use instead of your account name.

Answer 2

In my experience most game rooms will give you the option of choosing a user name when you sign up.