It is easier to use current place name for everything. In that way you will know where to go today to find more information. In the case you mentioned you would need a ticket to the Marienka Ukraine, not Marienthal Russia to search for information in your family's home town.
One of my favorite research sources is maps. Most maps are based on current names.
I would explain in a note the history of the location.
One of my favorite research sources is maps. Most maps are based on current names.
I would explain in a note the history of the location.