From what I remember from the games (hyphens just for readability)
Xemnas - Zem-nus
Xigbar - Zig-bar
Xaldin - Zal-din
Vexen - Vecks-en
Lexaeus - lex-ee-us
Zexion - Zecks-e-on
Saix - Sigh-x
Axel - Axel/Axle
Demyx - Dem-ix
Luxord - Lucks-ord (I'm guessing on this one, as I don't recall his name ever being pronounced)
Marluxia - Mar-loo-Sha
Larxene - Larks-een
Roxas - Rocks-us (hehe)
Xion - She-own/She-on
As a comparison here are the Japanese names:
(Remember that a "u" is often silent)
ぜムナス - Zemu-Nasu ("Zemnas")
シグバール - Shigu-Baaru ("Shigbar")
ザルディン - Zaru-Din ("Zaldin")
ヴィクセン - Viku-Sen ("Veexen")
レクセウス - Reku-Se-usu ("Lecksayoos")
ゼクシオン - Zeku-Shi-On ("Zeksheon")
サイクス - Saikusu ("Sykes")
アクセル - Aku-Seru ("Aksel")
デミクス - De-Mikusu ("Dehmiks")
ルクソード - Ruku-Soodo ("Looksword")
マールーシャ - Maa-Ruu-Sha ("Marloosha")
ラクシーヌ - Raku-Shiinu ("Larkscene")
ロクサス - Roku-Sasu ("Rocksas")
シオン - Shi-On ("Sheon")
While it certainly would make sense for Luxord to be pronounced "Luck-sword", as in Luxor, and all the casino-gambling similarities, his Japanese name suggests it is to be pronounced "Look-sword".