With me it's a bit different. I was given a first name that I hated and was always finding ways of shortening in elementary school. About the end of fifth grade, I decided that I was going to start going by my nickname when I entered sixth grade, which my mother and brother were already calling me. I know my mother thought that it was just the age and it was something I would do temporarily and then go back to being called by my given name. Almost a decade later, I'm still going by my nickname. I use my given name professionally, but I will correct you if you try to call me by my given name. Other than my dad and my bff and a few relatives, most call me by my nickname. My dad, who goes by a shortened version of his middle name and doesn't even use his given name professionally, is pretty much the only one who doesn't call me by my nickname ever. He says he and my mother worked very hard to pick out my name (which is true; my name was the only one he and my mother agreed on; my brother was simpler; I named him after my favorite Oriole, and they agreed) and he is going to call me by that name.

Note: he has a variety of his own nicknames for me that he calls me, so, ya know...
I was at a religious event one time and introduced myself by my full name (this was several years back; I practically never do that now), and the woman I was introducing myself to looked at me and said, "So what do they actually call you?"

I guess I looked uncomfortable or something.