nah, don't change it. It is their name, and it just so happens to be the name of someone else, too. My character (Lorien) was named by me when I had no idea about the LotR location. I went on for years not knowing until recently. Doesn't mean I have to change it!
Thanks for the support guys! I have decided there is no need for it. I believe everyone enjoys it and I usually have jokes cracked at me. It'd take away from my RP anyway too.