This is a very good thing to study, I'm sure you've noticed that there's almost always a question like this in part one of the listening test. In general, try to predict how the name will be spelled (I know that English names are crazy though) when you hear it.
Here's a page that has 10 names you have to spell. She does speak quickly and they are difficult names! IELTS Practice Listening Exercise 12
There is free practice test on the British Council website for more practice: IELTS Free Practice tests to develop your exam technique
Good luck on your exam!