In the mobile app, you can set up your team name or give your players nicknames through the "My Team" Tool, under the General Settings.
Open your desired league, then tap on the General Settings (gear icon), and then tap on the "My Team" Tool.
From this page, you're able to customize your Team Name and Player Nicknames.
From the web app, you can do this by clicking on the "My Team" tab in your league:
You can only edit the player nicknames once your league's drafting is complete.