I have used several stage names in the past, in an effort to separate myself from the various styles of music I play. I can do an entire evening of humour, straight blues, jazz, rock, or trad folk, and I have found the following things out:
While people want to put you in a bag, it is very disappointing to them if they recognise you as The Blues Guitarist, announce you as such, and you proceed to perform a floor set of traditional material.
Getting payment by cheque to a stage name can cause horrible delays if you have not explained the situation to your bank, as nost cheques are marked Account Payee only.
It can be embarrassing to use a pseudonym - I once dropped my wallet inside a record company, and the receptionist had to establish my real identity before she could return it to me - the ID in the wallet did not correspond to the name I was using.
On the other hand, one has to admire people such as Ewan McColl, who have the strength to re-invent themselves. It reminds me of a man I knew who was a getaway driver for a gang of jewel thieves. I met him when he was just out of Leicester prison, having just served three and a half years of a five stretch. He changed his name by deed poll and within a few weeks had got a new job as a security guard - damn good guitarist, though.
Call yourself what you like, but don't conceal your identity -it suggests you have something to hide.