You have to write it "Wednesday" because that's the correct spelling of the word. I have to disagree with BRSwartz though. Although the "d" is normally silent, there are plenty of English dialects in which the "d" in "Wednesday" is heard.

It has to have the "d" in it. It is said to be the day named after the Norse god "Woden" or "Wodin," so Wodensday eventually became Wednesday. But you're right, you can't hear it when people speak.

BRSwartz is right read " ...the names of four of the Roman gods were converted into those of the corresponding Germanic gods. Therefore in Old English we have the following names (with their Modern English developments): Sunnandaeg, Sunday; Mnandaeg, Monday; Twesdaeg, Tuesday (Tiu, like Mars, was a god of war); Wdnesdaeg, Wednesday (Woden, like Mercury, was quick and eloquent); ..." http://www.thefreedictionary.com/Wednesday