I just checked it with Xcode 4.2.1, and it let me rename from WeightEntry.m. It also correctly changed the file names--so I'm guessing the file name issue may have been a bug with earlier versions of Xcode (or I had accidentally turned the option off).
The book directs to rename the WeightEntry class in .m, and goes on to say that the .m file will need to be manually renamed. I was not able to rename the class in the .m file. When I right-clicked on the class name and selected Refactor > Rename, I got the error, "The selection is not a type that can be renamed." So I tried renaming the class in the .h file and that not only worked fine, but it also renamed both files, too.