Hi, I've tried to use AT command "AT+NAME" on bluetooth module HC-06 but it always return only "OK". I'm using gtkterm and a usb to rs232 adapter. Thanks
That is all it will return but the name would have been changed.
No, the name doesn't change
With this command AT+NAME you set the new name in module you don't get the current name of module, so as dear Grumpy_Mike said you will get the OK as feedback.
The command should be like:
AT+NAME=NewName
or
AT+NAMENewName
I thing is the first, so after that do a search from laptop or phone or ... and you will see the name "NewName"
Good luck 
There the problem is that the serial return always OK without the inputted name and it don't keep the new name.
I do a quick search on google and found this nice tutorial http://www.psychicorigami.com/2014/03/22/re-configuring-the-hc-06-cheap-bluetooth-serial-module/
I hope it will help you because has picture's on each step (in case you do something wrong) 
Good luck