IIRC, when you enter the passenger information there are two boxes to enter your names. If you enter the SkyMiles number and get to the booking page, it will auto fill in the name (first & last with skymiles number) with greyed out boxes that you can't edit. Below that you enter the TSA secure flight passenger info which you can change. The TSA portion is what shows up on the boarding pass I believe. For example, my SkyMiles account uses a shortened name for myself, and when I enter my full first name in the TSA portion, that is what shows up on my boarding pass.