First, select the old tag to look at the list of keywords associated with it.
Next, select all the keywords, click "edit tags", give a name to the new tag, click "Create" and once you are done, click "Apply".
Then, with the new tag created, you can uncheck the old tag and then click "Apply" to transfer those keywords from the old tag to the new tag. By simply unselecting the old tag, you are deleting the tags from your rank tracker so it doesn't show up under your list of tags.
If you were to sort your keywords by Tag, only the new tag will show up while the old tag would have been removed from view as shown here.
There is even an easier option to rename/delete tags for a bulk of keywords at a time. What you need to do is:
1) Navigate to Tags tab and request the context menu
2) Select an option to "Rename", type in the new tag, and click "Save" button.
Voilà: you have the new tag added to the bulk of keywords!
From this same menu in the Tags tab, you can remove tags for a group of keywords at a time by selecting "Delete".