For the wedding and reception itself, during the ceremony, you can always skip the “I now present Mr. and Mrs. HisLastName” part. And as for the reception, personally I find the big boxing match style introduction with much clapping of hands and stomping of feet to be tacky (especially when you pair up the bridal party and announce them as couples when they are not and make them run in doing some stupid dance or cheer…), but that is a personal preference and it certainly not wrong by etiquette, so you can skip it if you want to skip the whole issue. If you DO want to do a big entrance to the reception, you can have the MC say something like “the happy couple!” or “the Bride and Groom!” or just your first names. It’s your wedding, everyone knows who you are, so no need to get formal with last names!
Of course, none of these options are informing your guests that you are keeping your last name. You don’t HAVE to make an announcement, simply just keep using your name they way you like it. You can give strong hints by using a return address sticker or stamp with your full names on it. Or perhaps include a little card with your thank you notes that says something like “our marital address” with both your full names and your address (this is especially good if you weren’t living together before the wedding or if you are moving shortly after.) You can also just correct people as things come. Like, getting a check addressed to Jane HisLastName when you are Jane YourLastName- call them back and be like, oh, by the way, I’m keeping my last name, luckily the bank was very understanding about depositing the check.” Or just be a little abrasive and say, “Hi Grandma, I’m soooo sorry, but since my last name is Jones not Smith, the bank won’t take the check you sent…”
Now, the be perfectly honest, you are probably going to have to fight assumptions for a few years unless you happen to have really awesome friends and family. Just be firm and consistent with correcting your name and they should get it down eventually. (And you will definitely still get junk mail addressed to the wrong name, but just throw it in the trash and get your anger out!) Or not- my grandma still calls my mom by her childhood nickname that she hates even though she has been going by another name for 30+ years, so.