In my opinion, very few people either take the opportunity, or are compelled to, change their name. I think that one's name should have meaning... I mean, we get to choose this essentially once.
I chose Sigyn because my grandfather always called me his "little Loki", which held dear to me. He and my mother (his daughter) instilled in me my culture, my societal customs and manners, and my spiritual worldview. Sigyn is the wife of Loki, who expresses infinite patience and compassion, two traits I need to keep in mind constantly.
So, that's why Sigyn is my chosen name, not only as it is a 'religious' name, but to honor my ancestors.