Coming up with interesting names in your worldbuilding is both difficult and very important. Names carry meaning and an emotional weight. Whether you plan it or not, people will have thoughts and emotions about a character, city or anything else based on its name. This is why experienced worldbuilders always carefully choose the names you see in books, movies and videogames. Some must be unique and feel special while others need to feel common and forgettable.
Another important point is that names should not be considered separately but as part of the categories and groups they belong to. They should also be different enough so that even a distracted and unfamiliar audience can easily tell them apart.
The first approach is to take the meaning of a particular word or series of words and translate them in different foreign languages and find the best fit. If you hero is courageous for instance, you could try to see how courageous soudns in different languages and then find one to use verbatim or you could also slightly adapt it.
The best example for that is Lord Voldemort from Harry Potter. In french, Voldemort means "Flight of Death". In English, both the meaning of the translation and the french version sound ominous. Whether you use that method or not, you also have to be careful about making sure every name you create does not sound negative or insulting in any language that your audience speaks.
Another approach is to modify existing names or adjectives. You could take an adjective or a name from your native language and change a couple of syllables or characters to keep the same emotion but create a unique name. For example, if in our world we have cute creatures that we need to name, we could start with adjectives such as happy, cute or fluffy and come up with names such as: "cutsies", "happas", "fluffies" or flappies".
The best example for this is the title "Darth" from Star Wars. By replacing "k" with "th", the name keeps the same feeling but now it feels unique and specific to Star Wars. Even somebody not familiar with Star Wars will understand that it is not a name for something friendly or light.
The last approach is to create an entirely new language with its own rules and it is the most complex one. For instance, you could create a new language for your world and choose that all female names end with "i" and all male names end with "o". You could also decide that the language often has double consonants in the middle of names. Following this, you would come up with names such as "Darlli", "Ammli", "Yppi" for women and "Appo", "Darllo", "Guppo" for men. This was the approach used by Tolkien in Lord of The Rings. He created new languages with sets of rules and names were following them.
The importance of names cannot be understimated. But you do not need to address it at the beginning of your world and they are easy to modify. Unique and interesting names can really push the interest of the audience for your world. And do not forget that you do not necessarily need to come up with new names. Often, the best way is just to use existing names in English or other languages. It will be easier for your audience to remember and know how to pronounce them.