Why should you? I wouldn't change my first name so that I could marry a man. I'd expect him to accept me as I am, name and all LONG before I even considered marrying him. To be honest, even though my culture expects me to, I won't change my surname either. Why should women have to give up their identity but not men?
You need to ask yourself if your boyfriend will accept you keeping your name. If not, wonder why not, and if you're willing to make that sacrifice of identity to be with him.
I personally think that spirituality, whatever form it comes in, Muslim, Hindu, Christian should be a person's individual choice and no one should be expected to 'convert' to anything for anyone. If you want to that's your choice - all I'm saying is don't be backed into it. This is your life, your relationship with God, your choice.
You may have to put your foot down, if you choose to argue your corner