On the character sheet is a greyed-out PLAYER line. Here you should enter your name, both first and last, or if you have a long surname, then an initial and the surname. Or, if you have one and it is widely known to the group, you can use your nickname instead. This should then be added to each new sheet you add to your character's sheets, including additional History sheets, Manc, Equipment, Mounts, Herbs, etc. In fact anything that is only for your character should have your name on it so that it is not easily confused with another character, should the pages become mixed or such.
You should not add your name to anything that could conceivably be given to another character in game, such as maps, letters, notes, etc.