as salaamu alaykum,
Congratulations on becoming Muslim! It must be such an amazing feeling to know that all your past sins and mistakes have been washed away, and you're like a new born baby, with a fresh page and a fresh start to your life!
I asked a student at Al-Azhar about using the name 'Shaheed', and he doesn't think that there's any problem with doing so, because Allah Himself uses the word in the Quran to describe human beings in Surat al-Aadiyat (Ch. 100):
إِنَّ الْإِنسَانَ لِرَبِّهِ لَكَنُودٌ
وَإِنَّهُ عَلَىٰ ذَٰلِكَ لَشَهِيدٌInnal insaana liRabbihi lakanud, wa innahu ala dhalika lashaheed (verses 6 and 7)
'Truly man is to his Lord ungrateful; and to that fact he bears witness (by his deeds).'
I also wanted to point out that you may want to discuss with a scholar or someone knowledgeable about changing your last name. As far as I know, one should keep their last name to preserve one's lineage and it's only the first name that can be changed. Even the first name doesn't *have* to be changed, it's only if the name is in contradiction to a teaching of Islam. In some cases, I think it may actually be better to keep your old name so that your friends and family don't feel alienated, or that you've adopted a culture that's not your own, etc. But I know that some people like to change their name as a way of having a fresh start and to feel closer to Islam. It's a personal decision I guess
May Allah guide you always to the truth and keep your heart and mind enlightened and inspired by Islam,