CRA does it, not sure how. No need to request it from the credit agencies but inform your bank and employer about the change. I don't know how credit agencies know about the change, but a credit lender or landlord can perform a credit check on you without your SIN by using your name, date of birth, credit card #s, current & former addresses, etc.
Thanks SenoritaBella, one question though, you mentioned 'The numbers are simply linked together'; how does this happen, do we have to request Equifax or Transunion (credit agencies) to do this? How would they know about the change in our SIN #s otherwise? Thanks for your help.