M.B.
Since the little girl is big enough to understand what is going on, perhaps personalized gifts with her "new" name on it or "new" monogram would be fun gift ideas? Land's End and LL Bean do a great job of personalizing tote bags, and Lillian Vernon has oodles of personalized stuff especially for kids.
Another idea, but more for the family than the daughter, would be personalized return address labels with the stick figures of each person in the family, showing she's a part of the family now.