We tell our kids and of course that means it leaks out. We do also however change the name frequently
I've also been known to throw out totally obnoxious fake names in response to the question. (I'm leaning towards "Dufus" this week) Our family has pretty much given up on making it a big deal and know they will find out...when they find out!
Part of the reason I'm so shady is I agree with PP's words that once the name is attached to an adorable little baby they are looking at, they don't dare speak ill words. And if they have the guts to do so, I take it personal because at that point it's not a name we are "considering" but a child we just birthed. For some dumb reason people think if you are still pregnant they have the rights and the means to influence the parents decision on the unborn's name. It's really inappropriate to me.