How to change my Apple ID last name?

Yeah, you can change it with no problems!

See this on how to change your Apple ID mailaddress

1. Go to Settings, then tap your name. 
2. Tap Sign In & Security. 
3. Next to Email & Phone Numbers, tap Edit. 
4. Tap the Remove button next to the email address, then tap Delete. 
5. Tap Choose Another Email Address and enter your device passcode if asked.
6. Enter the new email address, then tap Continue.
7. Enter the verification code that was sent to your new email address.

And at settings>your name>personal details you can change your name

You won't lose anything if you actually change it per the above instructions. You would if you were to instead create a new account.