There are many great guides to changing your name and/or gender marker on federal documents, and with federal government administrations. Since this process is controlled by the federal government, it will be the same, no matter which state you live in.
If you live in New England, you may be able to get free legal representation through the GLAD Pop-Up ID Project. From GLAD: "Transgender people living in New England (Connecticut, Maine, Massachusetts, New Hampshire, Rhode Island or Vermont) seeking to update their legal name and gender on federal and state documents can receive free legal representation through this rapid-response program."
Here are some of the best resources for changing these documents:
General (covers many topics)
Sylvia Rivera Law Project (Based in New York - this page has NY specific resources, but also information about passports and Social Security)