That’s a personal decision. You could list the pros and cons and then take a decission.
I think you can use Gregorio for your daily life (probably you already do that) and sometimes, when you have to do a legal operation, be patient as until now.
I’m a 100% Spanish person and I have the same difficulties as you! Mi name and surname are Basque (a language spoken in Spain, but different to Castilian Spanish; there are millions of Spanish people with Catalan names too + all the people from Europe, etc.).
Every time I have to spell my name or my surname (or both), I do it. And personally I have no intention to change them. My name and my language, as my family and my history, are important parts of my identity, and I’m proud of them. I’d recomend you to do the same, here in Spain and in any other place of the world. Also to speak Polish to your childs if you ever have any.
But as I said before, it’s a personal decision and if the legal stuff you have to do sometimes are a real problem for you, change your name. Just be sure that you will not regret later for giving up a part of your identity.
Euskaraz hitz egiten dut. (Basque language: I speak Basque)
Spanish is also my mother tongue. As you can see, I also speak English.