Walk to the room you want to rename, and set a unique temperature setpoint (e.g. 28 degrees) on the thermostat locally, so that you can later identify the room on the App list
On the main screen on the App, swipe left to access the room list
Find the room with the unique setpoint (e.g. 28 degrees), and click to enter room menu.
Choose the pencil icon in the upper right corner, and type a new name.
Repeat for all rooms.