I think what's important is that a russian would pronounce my name the same way as I do.

For "Hu", it's simply a "u" french sound. So, how do you write a "u" french sound?
If it's Юго, just too bad if it's like a cardinal point...

I'm not the only one with this problem: The russian president Vladimir Poutin has the same here: Poutin is pronounced exactly the same way as the more popular fast-food of Quebec (poutine), french-fries with barbecue sauce and pieces of cheese. Everybody here are laughing about that.