I typically do not change the MC or any LI names unless I am forced to. If I have to pick a Name I typically go with Ethan for a MC and Alexis as a Female LI. I use Ethan because that is the MC's name in my favorite VN and I use Alexis because it is my favorite female name (also the main LI name in my game).
Never used a "naughty" name for a character. Reading a name like "Buster Hymen" or "Deez Nutz" or "Dick Feltersnatch" quit being funny to me about 9th grade, and would only get a snicker now if I were fairly drunk - which is something I don't do when I play VNs.
Usually my nickname for the MC because, well, why the hell not? For LIs it depends on the game. For something like Harem Hotel I've named them Kitten, Precious, stuff like that. I don't really do "naughty" names really, just feels weird.
I usually leave the name of the LI in the original, because when searching for solutions, it is difficult to find information about them without the original name.
I dont use the naughty names for characters. I dont see the point… you are supposed to play as the protagonist so why would u give yourself some silly name. Most of the time i dont rename LI because once i tenamed one character and then after a few hours of playing there was a new character with same name and then its a little bit weird to have two characters with same name.