This might sound silly, but I pretend they are my children, and give them a name that sounds good with each other. Obviously, I'll have already decided the gender, age, and nationality of my character, which give me a starting point. Based on these factors, I look into the character and give them a name I love. Once they have a first name (which always seems to be the easiest part for me) it's like naming them in reverse. What sounds good and plausible with the first name (I usually give them a middle name too, even if I never use it in the story, just to help me find the last name). It's a really subjective process, with lots of ways to do it, but I think your instincts will lead you in the right direction. Have fun with it, you're in control and can do what you like!