Hello
Have you already added your domain to your business account?
If you have added your domain successfully, go to Admin Center https://admin.microsoft.com
Go to Users > Active Users > Your user, then in the Account tab, under Alias section, click on change username and email, then give yourself a new alias and from the dropdown, select your own domain. Then set it as primary alias. I suggest that you keep the onmicrosoft.com one, in case you have domain issue down the road, you still have this username as your plan b.
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If your domain is not added yet, you need to add it first. The instruction is here: https://learn.microsoft.com/en-us/microsoft-365/admin/setup/add-domain?view=o365-worldwide