Rule: You don't give yourself a nickname. That's just not how it works. If no one else gives you a nickname, I'm sorry, but you don't get to come up with one yourself. If you do, it's a lame move to begin with, and it's entirely possible that the nickname you choose will be equally lame.
Case in point: Dwayne Wade, who isn't just another NBA superstar, but a man with a perfectly suitable nickname that he did not give himself. Yet "Flash" isn't good enough, and Wade has decided to brand himself WOW. Seriously, WOW, or "World of Wade", a nickname so bad that his teammate King James (a man whose bad decisions include The Decsion) did his best to kill this absurd notion, calling the new nickname corny.
Well, what do you know? The Chosen One (a fine nickname so long as one doesn't assume that this particular "Chosen One" was chosen to win championships) is occasionally right, and there's more to Dwayne Wade than flying side-kicks on the basketball court. The man is also good at coming up with silly nicknames that may just make people stop and say "Wow." Just not in the way he's hoping for.