A quick note, having had a recently married friend who ran into this problem.
Ursula is not taking Nick's last name. Nor are we going to merge our two last names into one. (Ed: nor, may I note in the interests of completeness, is Nick taking Ursula's last name.) Cash gifts sent by cheque should be made out to "Ursula O & Nick B.", but using their current last names.
Note: mostly, this post is an excuse to use the word "cheque" and sound a little pauncy.