I name the characters of the original games after my friends and I. Then I imagine them having little conversations in my mind about the things we would actually do on this journey.
Its really entertaining and the thought of me travelling with my best friends in the world is really appealing to me, so I do it a lot. I definitely feel an improved sense of immersion into the game when I do this.
I think I'm crazy.
Thief- My cousin, Jay
White Mage- My cousin, Alana
Black Mage/RedMage- Chris
The only time I'm guilty of renaming characters are in Poke'mon games because it's hilarious as to what you can do with a comma. But in FF, no I never change character names, I'm just to lazy to think of anything that sounds nice. xD