Just use it.
Sorry, I noticed that I referred to my host in the previous post as Dreamweaver! So much discussion of that program around here my fingers just typed it on their own. My host is Dreamhost.
Anyway, you don't really do anything unusual. When you buy the new domain (register it) you do not ask for hosting. You have options like host (which you do not want), park, AND redirect. So it doesn't cost anything. You should check before registering. I do not know if every host offers it. You just type in the name of the domain you want it directed to (where your site is located).
Then you just use your new domain name in the usual way. You use it in your signature files or whatever and anyone who uses it goes redirected to the site you are actually hosted at.
But I am curious as to why you would want to go this route. If you don't like the name you have why not get a new one now. Can you not change it over where you are? Wouldn't it be easier to just move the files to a new domain? It is not that much trouble unless you have a tremendous number of files and even then I would just do it.
I can see some trouble potentially in people seeing the different info in the browser or wanting to bookmark files or whatever. Also, I am not sure about the affect on search engines, SEO.
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