The IRS looks at your marital status on December 31st to determine at what rate you will pay taxes. We can assume that for this year you will file Married.
The withholding tables which are triggered by the numbers and terms you put on the W-4 are used to get your withholding close to the eventual total amount owed. Of course the more complex your situation -- deductions for mortgage, education, high state and local income tax -- the more adjustments you need to make.
On the W-4 form the IRS has the following instructions:
If you are single and have more than one job or are married and you
and your spouse both work and the combined earnings from all jobs
exceed $50,000 ($20,000 if married), see the Two-Earners/Multiple Jobs
Worksheet on page 2 to avoid having too little tax withheld.
Two earners or multiple jobs. If you have a working spouse or more
than one job, figure the total number of allowances you are entitled
to claim on all jobs using worksheets from only one Form W-4. Your
withholding usually will be most accurate when all allowances are
claimed on the Form W-4 for the highest paying job and zero allowances
are claimed on the others. See Pub. 505 for details.
Remember that the W-4 and the withholding doesn't change what you pay in taxes, it only changes the timing of the payments.
In general a person that has a W-4 with the status of Single will have more withheld compared to a person making the same amount but with a status of Married. You should correct this via changing the W-4. Note that not correcting it isn't a crime, but keeping it correct makes it easier to estimate correctly.