The sponsored person has a place in the application to include other names he/she is known by. The sponsor doesn't. I included my husband's nickname in that list. When filling out the family part of the application, I just put their nickname in parentheses after their 'real' name, if it was not the official first name that they use. For example: Father: John Albert Smith (Jack); Mother: Mary Agnes Smith (Agnes).
For emails, cards, etc., I would attach an explanation at the beginning of that section stating who the nicknames belong to. 'Snookums' is what I, John Jones, call my wife, Mary Jones. 'Sweetie pie' is what she calls me.
For the photos, I put a note at the beginning of the photo section stating my husband's full name and the nickname I call him, and my full name. Then in the captions I used my first name and his nickname, since that is what we call each other really.
Just include an explanation of who the nicknames belong to before each relevant section of your evidence, and you should be fine.
