I checked initially my status as married but fill out the tax forms as a single (W4 by the company). Is it possible to change it to married and get tax return from IRS? ( married but fill out as single ---> Married and fill out as married).
You can change your W4 any time you want, that only affects your withholding. Your actual tax is calculated at the end of the year on form 1040, and if you're due refund - you'll get a refund.
I'm not quite sure what you're asking. If your question is, Can you choose what marital status to put on your income tax form, no. If you are legally married on the last day of the year, then you must put married. Otherwise put single. (Or head of household if the rules for that apply to you.) You don't get to pick.
If you mean, How does getting married in the middle of the year affect my withholding and my total taxes?, then it works like this. You fill out a new W4 telling your employer that your marital status has changed. The employer should then begin, from that point in the year, withholding at the rate applicable to the new marital status. Then when you file your taxes for the year, you will calculate what you actually owe for that year, and the amount of your refund, or the additional amount you have to pay, will be the difference between the actual tax due and the amount withheld.
That is, what you pay in withholding is just an estimate. It has no effect on the amount that you actually pay in taxes for the year: If too much money was withheld, you will get the difference back, if too little, you will have to pay. The only difference withholding makes is WHEN you pay. Do you pay the money in small chunks over the course of the year, or in one big chunk the following April 15? If you fill out your 1040 and the amount of tax you owe comes to, whatever, say $5,000, then the total tax you pay for the year will be $5,000. If you paid $6,000 in withholding, you will get $1,000 back. If you paid only $4,500, you will owe $500. Etc. (Well, if you pay too little in withholding, then you may owe penalties. You can't just decide to have zero withheld and pay it all April 15. The government wants the money NOW.)