are you planning an online coven or an offline one? online covens are no longer aloud to be made unfortunately. offline coven, speak with the other members. figure out what you wish to get out of the coven, and what you feel it represents. you could also try meditating on the question, skrying would work too.
theres a couple ways you could come up with your magical name, as i said above meditating on it. myself, i used the numerology way. you take your name, and calculate your number with a chart from one to nine. should look like this:
1 2 3 4 5 6 7 8 9
a b c d e f g h i
j k l m n o p q r
s t u v w x y z
take your name [i'll use moonwitch] and find the numbers each letter falls under and add them up until you get a number from 1-9:
so your magical number would be three. from there, you'd need to find a name that adds up to three. it's a long one, can get frustrating, but it's one way to do it. if you find a name you love, but doesn't add up, it's no big deal, use that. you should be happy with your name.