Gods, of course, have it easy. They know the True Names of most things, and can guess the True Names of most other things if given time to think. They do not often use them: people and objects tend to freak out if you bandy their True Names about, and it's not as if being a God does not give one enough authority over lesser entities anyway.
The True Names of the Gods are a special case. Of all the beings in Creation, only the Gods can Name themselves: all other entities receive their True Names from their parents or creators. Furthermore, the True Name of a thing is related to its Nature, and it is not in the Nature of the Gods to be bound by lesser beings. This means that the True Name of the God gives no power over that God: if someone is foolish enough to try and summon and bind a God using his or her True Name, they will simply not succeed.
Thus, the True Name of a God, whilst private, is nonetheless not too powerful. "I swear by my True Name", an Oath which is mighty and potent when sworn by lesser beings, is a much weaker Oath when sworn by a God. It's considered a romantic gesture to tell one's lover one's True Name - and it's considered a harsh way of closing a relationship to change one's True Name, leaving one's partner with nothing but a useless word. Since the True Name of a God is related to his Nature, prolonged meditation on a God's True Name can reveal details of their Natures.
That isn't to say that the True Names of Gods are not without power. For example, servitor spirits can be summoned and bound using the True Name (and to a lesser extent any former True Names) of the God they serve, and any descendents of theirs amongst the Children of Grace cannot break an oath they have sworn by the True Name of the relevant God. However, trying to use a God's True Name to get at them is suicidal.
This is how the Gods change their Names: first, they find a lonely place, whisper their new True Name, capture the breath the word is carried on and swallow that breath. Then they travel to the Outer Tomb of the Underworld, and record their former Name the great book of Holy Names kept there, and undergo the Ordeal of the Blades, in which demons strip off the skin of the God with their swords, to purge the God of their old Name. (Before the Underworld was established, the Book of Names was kept by the Lord of the Dance, and the God changing his or her name had to tear off their skins themselves). The entire process constitutes a Legendary action, and is not the sort of thing which is pleasant to undergo: therefore, be careful with your True Name, and do not spread it about too much.
One of the last things that the souls of dead Gods do before they descend to the Underworld is record their last True Name in the Book, that the Words of Power need not leave the world of life.
The Unreal is the other exception to the rules of True Names: its creatures have no True Names, since Names refer to things that exist. One of the prizes the Unreal fought for in the First War was the right to have Names, and the beings of the Unreal often make up for their lack of True Names by crafting an array of fanciful pseudonyms, which they often exchange between themselves as the mood takes them.