I didn't, and never thought about it. Bit annoying at docs and things to not have same name as DC, more for them (docs receptionists, not DC!) than me tbh. But then DH died and I remarried, and now our family has 3 surnames between us. Having not changed name first marriage, was a no brainer that I wouldn't second time.
Said that, have two lovely friends also widowed and re-married who have both double-barrelled and their kids all have too. Which I think is fab. This is one of those things that you just have to decide for yourself I think. No right or wrong answer.
I get more annoyed by being called "Mrs DH" or him being called "Mr DW" tbh. Or forms that don't have a Ms option. People should be able to do whatever they want.