Well, the official spelling IS "Fay" according to the guides and merchandise, etc.. But I usually write "Fai" because like Mina said, when I TYPE "Fai" in Japanese that's the easiest way to do it.. But not only is it typed that way, but that is the correct romanization of those characters.
So I guess I'm going by more of a translation of the name instead of the "official" way.. Also, "Fay" just looks like it's pronounced as if it rhymes with "say" to me, and that bothers me...
So I use it sometimes ((since it IS official...)), but not often...
And I have no idea where "Fye" even came from... I don't get that one at all... O.O I mean, I see how it LOOKS like it's pronounced the same, but I still wonder who made it up! XD