If you're on PC you should be able to right-click and select 'delete'. I think it gives you a confirmation screen, followed by a 30 second timer to change your mind. Really unless you are only paying for the 1 per world, 8 worlds plan (Standard or Basic?) then you can make another character and transfer the items over. If you'd rather keep your progress but change name/appearance there's also those two services on Mog Station.