Here are some Imperial names I like. You can just mix any first name with any last name:
First names: Attelian, Atteli, Falcedon, Marsius, Albecius, Ignatius, Vodus, Glallian, Gladius, Caccian, Gaius, Cassius
Last names: Laenius, Gravius, Rulician, Maro, Apinia, Prentus, Vinipter
eg: Cassius Vinipter is pretty cool.
There is no right or wrong way to roleplay. I just give my character the basics though, then let her show me over hundreds of hours what her preferences are and what her true nature is. For example, if you are just starting this character, how do you know he dislikes betting at the Arena? Are you roleplaying him or simply giving him a script to march to? Just a thought.