Solution 1:

It seems that the current consensus is “don’t change” (-ys).

Swan 2005 cautiously says that "proper nouns usually [emphasis mine - Alex B.] have ys".

the Kennedys (not the Kennedies)

There’s a punk band, Dead Kennedys http://www.deadkennedys.com/; there’s also aTV show, The Kennedys.

the Willoughbys

the Wolfs (not the Wolves)

the Henrys

the two Germanys

Februarys

Marys (not Maries)

Huddleston and Pullum 2002 give the following rule for proper nouns: “the base always remains unchanged in both speech and writing” (p. 1595).

I was able to find one reference only (Chalker 1992 in The Oxford companion to the English language) that argues for the form two Maries.

The majority of grammars argue for “Marys”:

the three Marys (The Oxford guide to English usage, p. 40)

the little Marys (A comprehensive grammar of the English language, 1985)

three Hail Marys (The Cambridge guide to English usage, 2004).

Google “both Marys”, “both Maries”, “two Marys”, and “two Maries”. By all means, the unchanged form (Marys) is much more common.

A note on the Rocky Mountains (Rockies). Its derivation is not a Rocky =>the Rockies.

Re: Tony Awards (Tonys or ?Tonies). Its official website uses "Tonys."

The variant "Typhoid Marys" is also more common than "Typhoid Maries."

Solution 2:

In general you should just add "s".
The Oxford Companion to the English Language mentions occasional exceptions for illustrious names : the Ptolemies, the two Maries.

Solution 3:

tchrist may hear of Typhoid Maries, but I don't. Here in the US, the two names Mary and Marie are different, and pronounced differently. Two Maries I would interpret as two people named Marie.

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Similarly, Tonys and Peabodys are more frequent that their ies versions.