If you are working interactively then the function get selected columns might help:
Names default to here(1);
dt = Open("$Sample_data/iris.jmp");
dt:Sepal length << Set Selected(1);
dt:Sepal width << Set Selected(1);
cols = dt << Get selected columns;
for(c = 1, c<= n items(cols), c++,
Column(dt, c) << Set Name( char(c) || ". " || ( Column(dt, c) << Get Name ) )
);
Otherwise you could include an if statement in the for loop to ensure the name matches whatever criteria you have.