tolkien - Why don't Radagast and Gandalf use their old names when talking to eachother?

Note: Following Andres F. suggestion, here is a somewhat expanded repost of my comment as an answer, only focusing on Sauron case yet. If I find more elements than those already indicated here, I will add them later.

Sauron's name is based on the Quenya adjective saura which means "foul, putrid", while his original name was Mairon, "the admirable". In this case, it makes sense for Gandalf and Radagast, as fellow Maiar, to refers to him as Sauron rather than the original glorious one he lost any right to bear after turning to darkness.

In fact, the exact same thing happened to Melkor "He Who Arises In Might" who became known to everyone as Morgoth "Black Foe of the World" after his unspeakable acts agains the rest of Arda and its inhabitants.

Just for the sake of completness, even Olórin, Melkor, Mairon or Curumo are a rendering in Quenya of original Valarin names, which are in most case unknown since the language of the Ainur is very rarely used orally or in front of Elven listeners: Manwë "true" name is in fact something like Mânawenûz.