You have to apply for the name change in Ontario. You can download the application form and see more details. After that, you will receive the Change of Name certificate. If you want to change your name when you apply for the citizenship, you need this certificate. Otherwise, you have to use your old name which appears on your official document, like SIN card, driver's license... That's exactly what I wanted to do when I applied for the citizenship years ago. Unfortunately I couldn't because I didn't have the certificate and I didn't have time to apply for it.