To set your username on the Sessions website, click on Profile in the top-right menu, then View Profile. Tap on the Pencil icon to change your username.
To set your username in the app, tap on Messages at the lower-right menu, then tap on the Profile icon at the top-right corner. Your profile screen will appear. Tap the pencil next to your username to set it.
Once a username is set, it cannot be changed.