I'm currently writing a pulp novel right now that I hope to turn into a series. When I started it, I had never thought of using a pen name. Earlier this year, when I wanted to start writing queer erotic romance novels, I realized I would probably want one, so I decided to put all my writing under one, even though I don't plan on keeping it a secret about who I am.
For me, my pen name is what my mom was going to name me before she made up Finnialla and her maiden last name, so it's Claudia Logan. I think that pen names are cool and it does give authors a sense of privacy, plus it's cool to just kinda change who you are.
Chuck Tingle is one of my favorite writers right now, and he uses a pen name. He also wears a pink bag over his face with the eye and mouth holes cut out and love is real written on top of it. He explains that he does it for his privacy. You absolutely don't have to go that far, but privacy is doable in the literary world.
Whatever you decide, it's about how you feel using your real name. I know it can get scary having so much of yourself out in the world. If you would want to write under a pen name, everyone here supports you 100% and so does most of the literary world. If they don't, I'll come and fight them.
Also, heck yeah. Naming yourself after one of your DND characters is super smart. I love that idea!