When you initially set up your Playstation Network account through the Playstation 3, you must create an Online ID that is tied to your username. If you decide to delete this account to create one under an new name, your trophy data -- the record of all your in-game accomplishments -- will disappear with it. However, it is possible to save your trophy data to the Playstation Network server, and then create an additional account under a new online ID.
Scroll right to "Playstation Network" on your PS3 home screen and select "Sign In."
Scroll over to "Game," and scroll down to "Trophy Collection." Press "X" to access your trophy data. It will now automatically save itself to the Playstation Network.
Scroll over to "Users," select "Create New User" and type in a name.
Scroll to "Playstation Network" and select "Sign Up for Playstation Network." Press "X" to create a new account.
Type in the personal information required, along with your new Online ID. Highlight "Continue" and press "X."
Type in your date of birth and press "X" to continue. Press "X" to accept the Playstation Network terms of service. Now the name other gamers see online will be different, but all of your trophy data will be protected.
It is impossible to save or back up trophy data using an external storage device. If you choose to delete your Playstation Network account entirely, the data will be lost.