Whether or not you should change the name of the license depends upon what you've changed and what you're applying the license against.
Short answer: If you are just applying the license to your program, then no you do not need to change the name of the WTFPL. If you are changing the terms or language of the WTFPL then you need to change the name of the WTFPL as well.
Applying the license
To apply the license to your program(s), the WTFPL FAQ lays things out pretty clearly for you.
Step 1. Download or copy/paste the full text of the WTFPL and distribute it with your work. A common file name for the license file is COPYING. If the work features multiple licenses, it is usual to call the file COPYING.WTFPL.
Step 2. Add the following wording to your copyright statements:
Copyright © 2000 Your Name <your@address>
This work is free. You can redistribute it and/or modify it under the
terms of the Do What The Fuck You Want To Public License, Version 2,
as published by Sam Hocevar. See the COPYING file for more details.
And as part of Step 2, you need to change:
Copyright © 2000 Your Name <your@address>
to:
Copyright © 2014 Domenic < domenic@your.email.addr >
note: Use your name or github alias in there and provide a valid email address
If you don't want to change anything about the license itself, you're done.
That said, the WTFPL is essentially saying "this is completely free, do whatever you want" which negates any actual claim to copyright. So you could skip Step 2 and just insert the WTFPL text verbatim as per Step 1.
Modifying the license
You don't have to modify the license terms, but you might have your reasons for wanting to do so. For example, perhaps you're a huge Battlestar Galactica fan and you want to change the F
to frak in order to make it a bit less vulgar.
In that case, by the terms of that copyright, you must change the name of the license and the copyright it's held under. This is also addressed in the FAQ.
Can’t you change the wording? It’s inappropriate / childish / not corporate-compliant.
The WTFPL lets you relicense the work under any other license.
To be a bit more clear about how you would change the WTFPL itself, let's look at the WTFPL:

In sections 1 and 3, you'll need to perform the equivalent of this sed
command:
s/FUCK/FRAK/g
Note that this changes the name of the license to DO WHAT THE FRAK YOU WANT TO PUBLIC LICENSE
Technically speaking, you ought to change the version and date in section 1 but you don't necessarily have to since they're kind of meaningless in this context.
And in section 2, you'll need to change:
Copyright (C) 2004 Sam Hocevar
into something like this:
Copyright (C) 2014 Domenic < domenic@your.email.addr >
You may feel free to add something in your version acknowledging Sam Hocevar's contribution, but you are not required to do so.
It's questionable if you can also refer to your license as the "WTFPL" since the actual name is now "What The Frak Public License" and "WTFPL" is just an abbreviation of the name of the license. Given the spirit that the original WTFPL has been released under, I certainly wouldn't worry about it. Use whatever the frak abbreviation you'd like.