I usually keep her name "Dagger" because that one ending line wouldn't sound right with any other name... though if I'm doing a playthrough where I change everybody's names I usually pick some other weapon just so it works out.
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Dagger. Like so many others, silly or not, I stick with the default names. Watching my girlfriend play some games is pain to me, because she'll not only change the names, she'll make them into swearwords. (Though not when she actually intends to FINISH a game. Thank god for that.)
My only exception so far has been Red XIII in FFVII. I changed him to Nanaki a couple times. I never understood why he didn't just give his real name. At least in Dagger's case the new name serves a purpose, albeit one that's abandoned relatively early.