I almost always keep the default names. Ocassionaly, I'll change the main character's name to my name, just so it feels more like I'm a part of the story, but that's it.

FF7 is an exception. Since I've played that game god knows how many times, every now and then I'd change up the characters names. One time I named them all after my friends. Another time I named them all after Dragon Ball Z characters. :sweatdrop (forgive me, I was young)

In FF1, since there are no default names, I usually name them something that resembles another FF character's name. Like, I'll name the fighter Kane (reference to Kain), the black belt Ying (reference to Yang), ect.