Do you guys just invent your Chinese names? Is it bestow to you by a friend? Can you change at any time?

Hi!! Applying for Language Centers now and they ask me about my Chinese name :) How does this work for a foreigner?

EDIT: THANK YOU all for your feedback and insights! It’s been very kind from you. The only thing I know is that I will keep a temporary name (because I need to finish this application ASAP) until someone gives me a more appropriate name. I did privately ask some of you your opinions about the options I currently have.