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 Wolfs (not the Wolves)
the two Germanys
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."