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"Matthew David, though I don't think I'd like Matthew very much in German".

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Are you worried it might sound something like "Mahteff"? ;-)
With most "clearly foreign" names that don't really have a similar pronunciation in German, we just try to stick to the original pronunciation. (Although in some cases "try" is the key word...)
In this case, Matthew would almost certainly be pronounced the English way.
David, on the other hand, could go either way pronunciation-wise.