I too called him "Mar-LUCK-see-ya" for some time. Then I started taking Chinese classes and learned that characters with pinyin beginning with the letter "x" were pronounced like the "sh" sound, and I began to question exactly how it should be pronounced; some Chinese characters have the pinyin "xia", which sounds like "shya." It was then that my Chinese classes paved the way for my interest in the Japanese language, and I stumbled across Marluxia's name written in Katakana, "マールーシャ" which, when romanized, is "Ma-ru-sha" (literally pronounced Mah-roo-shah). From that point on, I pronounced it "Mar-LOO-sha."
While I'm at it, allow me to change the subject in a way that may not be entirely appropriate for this blog:
There seems to be additional debate for how the names of other members whose names are never audibly spoken: Xigbar, Demyx (though that changed for KHIIFM), and Luxord. But since I learned of the Japanese spelling and pronunciation of things, I seek to clear up things.
For Xigbar, names like Xemnas and Xaldin make the "z" sound, but that doesn't necessarily apply to Xigbar. It is actually pronounced "SHIG-bar" since his name in Japanese is シグバール (Shiguba-ru). The only way it would be pronounced "ZIG-bar" is if his name was spelled ジグバール (Jiguba-ru), since the "Ji" character is grouped within the family of characters that begin with the letter "Z," or something along those lines.
For Demyx and Luxord, however, fear not, as their names are デミックス (Demikkusu) and ルクソード (Rukuso-do) and make the traditional "x" sound. However, I still can't decide whether to pronounce Demyx as "De-MICKS" or "De-MEEKS," and Luxord as "LUCKS-ord" or "LOOKS-ord." I suppose, regarding the way we Americans pronounce it, it may be "MICKS" and "LUCKS."
And that, as they say, is that.