It's up to you, OP. It depends if you would rather be called something else other than your actual name. If you're happier being called John, for example, then go for it! Many people have Nick names and people don't bat an eyelid.
Many people do this and I think it's fine, if that's what they want to do but I do think that people who don't bother to try and pronounce someone's name correctly are rude.
Most names aren't that hard to pronounce and I think that it's a shame that people end up changing to suit lazy idiots others who can't be bothered to learn their name.
When I was a teenager I met a lad who introduced himself as "AJ". I asked him later what AJ stood for. His reply was "oh, nothing - no one can pronounce my real name and I was wearing a hat with AJ (Armani Jeans) on it so people started calling me AJ". His real name was Zubair! What's so hard about that?
He was delighted when I could pronounce it! I asked him which he preferred to be called and he said his actual name.
I have a friend called Lol and knew her for ages assuming that it was short for Laura or Louise or something. One day we had a conversation about her name:
Me: what's Lol short for, if you don't mind me asking?
Lol: it's not short for anything, it's not even my name! It's a nick name because no one can pronounce my real name so everyone calls me Lol.
M:
So what's your real name?
L: My real name's Aurelia but no one can pronounce it.
M: They can't? But it's such a beautiful name it's a shame that you feel that you can't use it.
L: I know! I love my name!
Both of them preferred their real names to their "easier to pronounce" names and it made me a bit sad that they felt they had to change as your name can be part of your identity. I hate my name but it's part of me. I can't imagine being called anything else!