The above answers are correct....but here's a bit more info. for you (I just went through this myself):
You have to do two things 1.) get a new Federal ID (EIN) for your LLC and 2.) file your new EIN and company name as an LLC with the secretary of state (for your state).
The great news is, you can do both of these things on-line.
In MA (where I filed), this was a bit of a chicken and egg routine because the Secretary of State will do you the favor of checking out your company name to make sure no one else is using it....but when you file w/the Sec. of State you'll be asked for your EIN(which you don't have yet!).......But if you start by applying for the EIN, they'll ask for your company name(!) (but what if someone else is already using it, right?!)
Anyhow, what I did was to file with the Secretary of State first, using my soc. sec. # to get thru the form (I applied on-line). Once the Sec. of State approved my company name, I applied for the EIN. Then I went back to the sec. of state and asked to up-date my soc. sec. # to my new EIN. This worked fine.
The LLC app. costs a painful $500 (in MA - guessing this is standard). Don't pay more. There are a lot of 'help' sites that say "file today for your LLC - just $150!" Etc. ....but the $150 is their filing fee and you'll be charged $150 plus the regular $500.
Once the Sec. of State has checked out/approved your company name, you can file for your Fed Id (EIN) here:
There are several online services available that can help with incorporating your business in one state or several. I incorporated my business through http://www.clickandinc.com/ who are business incorporation specialist.