The decision of when to file for a legal name change is ultimately up to you. There is a question on the naturalization application asking if you would like to change your name. You may do so this way, however, there is a slight chance it will take longer for you to receive your approved citizenship due to the fact that since you are also changing your name, your Oath Ceremony must be done in court, as opposed to any of the other locations also used for Oath Ceremonies. It is not guaranteed to cause a delay, but there is the slight chance as it is dependent upon the availability in your jurisdiction. You can also make the request at the interview, or after your Oath Ceremony. However, if you wait until after you are naturalized and then want to change your name on your Certificate of Naturalization, there will be additional fees to do so.