When you create a new application, the IDE will add a form, unit, project-file and some other files for you automatically.
When you save your program for the first time the IDE will ask where you wish to save it, and how to name your project, as well as your unit file(s). The save requester allows you to create a directory anywhere on your disk, and the naming can be done as you wish.
In case you already have the projects saved once and wish to rename it, then just save-as your project using another name. The projects name will be the name of the executable. Using save-as also allows you to save your project into another directory.
Be careful with combining multiple projects into a single folder, as it could cause name-clashes