Two of the three main characters in So Close are sisters Chen Ai Lin and Chen Ai Quan. But, clearly intending to market the film worldwide, the filmmakers anglicized these names as Lynn and Sue, respectively. The anglicized names are not only used in the subtitles, they appear in the closing credits. (Curiously enough, the English audio track uses the original Chinese names, probably to match mouth movements since "Sue" and "Ai Quan" just don't mix well.) Although the anglicization doesn't bother me – it's a common enough practice – I don't understand why the filmmakers found it necessary, especially since they anglicized none of the other characters' names.
I speak and read only English, and I watch the film in Mandarin with subtitles. After many viewings over the years, I am accustomed to calling the sisters Lynn and Sue, so those are the names I use in my fan fiction and when discussing the film.
Most Chinese have one-syllable surnames and two-syllable given names, and the surname always comes first. Whether a Chinese person is addressed by his or her surname as opposed to his or her given name depends a lot on the social status of the addresser vis-a-vis that of the addressee. Whenever a Chinese person is addressed by his or her given name, the entire given name is used, not just one syllable.
As best as I can tell, most characters in the film seem to address each other fairly consistently according to this convention, with one exception: the third main character, Kong Yat-hung, seems to be commonly addressed by everyone as "Hung" rather than "Kong" or "Yat-hung." At one point, she is even referred to as "Officer Hung." I don't know what to make of this. It might be a translation issue.
I'm just going to do what feels right based on what little I know, and based on what I see in the film. When discussing the film, and in my fan fiction, I mostly refer to any character from the film the same way they were addressed in the film. Thus, I call Kong Yat-hung "Hung" and I call Ma Siu-ma "Siu-ma." (For those who haven't seen the film, Hung's name seems to be pronounced Hong, even though it is spelled Hung.)
When writing fan fiction, I refer to any character I created by his or her surname. The two exceptions are the brother and sister characters I created, because they have the same surname. Using their full names all the time would be tedious, so I refer to them by their given names out of necessity.
My apologies if any of this is an error, or sounds strange to someone who knows much more about the Chinese and their culture than I do.