I am using a Mydomain enabled dev org on gs0 (Winter 16) and going throught the exercise in Trailhead. 

Follwed every step and when i click on Preview it takes me to my app (looks right) - https://skypeforbiz-dev-ed.lightning.force.com/c/Sfb.app

But it errors out with -

Lightning components require My Domain. Please contact your system administrator for more information.

Any idea what I might be missing? My org is defenitely provisioned with MyDomin.

It's a basic question. How to rename Lightning component once created?  I couldn't find any menu on Devloper console and any buttons on Setup|Develop|Lightning Components. Is it necessary to delete and create new one with new name?