I think it's a personal preference, and also depends on the context you will be using the language. If you are working or studying in that country and using your target languge, it may come across as unprofessional and seem like you are using a nickname. If you are mostly socalizing with peers, it may be fun and show your interest in the culture. It's also worth considering how easy it is for native speakers of your target language to pronouce your name. If it's difficult, that could also be a good reason to choose a name in your target language that is somewhat similar to your given name.

If you ask me out of respect we should adress people with their given names. Due to different sounds sometimes nicknames are a good way.