I'm sure the native Japanese speakers will correct me, but from the looks of it, you name would be written this way - ロレンゾ or ロレンゾー since the final "o" in your name might be a long vowel sound. I'm not sure if you can hold the ン sound. I hope this helps. The R sound in Japanese is so hard to pronounce, so your name may be tricky to say. Again, the native speaker can determine that.

ロレンツォ e` cosi` ciao

I don't know the Italian pronunciation. If the "z" in your name is pronouciated as the "z" de "canzone", your name has to be written ロレンツォ(please type "rorentso"). If my supposition is not correct, please tell me.

rorenzo