All you really have to do is rename the .cwp file and optionally the folder name.
However, the old name will remain on the recent-projects list. To fix that, you'll need to edit the registry key that maintains the list. If you're comfortable using regedit, just search on the old name. They key is called "Recent File List", e.g.
\HKEY_CURRENT_USER\Software\Cakewalk Music Software\SONAR\Platinum\Recent File List
I've been meaning to write a utility to do all that more easily, because I, too, start new projects under some generic name and change it later. The only reason I haven't written such a tool is that I keep thinking CW will surely add such an obvious feature to a future release!
(Suggestion to CW: add a context menu to the start screen, e.g. right-click on a displayed project and select "Rename Project". While you're at it, how about making the start screen resizable, so I can see all 16 entries?)