1)You say "What if my name was...(you choose a characters name)
2)Then you say something to go along with it...you can be as creative, funny, serious as you want.
What if my name was Edward Mars.... (the marshall who handcuffed Kate)
....I would definately go clubbing every night and make people call me by my last name, Mars, because its a really cool name. Maybe I'd open up a strip joint named Mars as well. I bet it would make a good profit!