None of these are confirmed, and never will be, but here's what I like to call them:

Larxene is Arlene
Marluxia is Lumaria
Luxord is Rudol (some people prefer Rould)
Axel is Lae (pronounced lie, followed by the letter a)

I have nothing for Saix or Demyx, though some people call Demyx Medy, because it supposedly sounds like some kind of music file.