The only way I can figure it out is to log into the iCloud website, go to mail, preferences, alias and create a new one.
It now creates an alias with @icloud.com instead of @me.com. I want to actually CHANGE my @me.com address to @icloud.com and not just create an alias. I'll be just keeping it as @me if I can't convert it to @icloud.
It's rather confusing, I wish Apple would provide some clarity.