Only a few actually have names, like Locutus from "The Best of Both Worlds." The problem with names is that it defeats the purpose of being an individual-free collective consciousness. In the place of names, there is designations. For example, 7 of 9 Tertiary Adjunct to Unimatrix 01. There are probably 9 drones in her unit, and she's the 7th. As for the rest, that must mean there is more than one adjunct to their homebase, unimatrix 01.
Names are easier for a smaller reference to an object. However considering the number of borg in existence it becomes more complicated if you were to name them all. You'd start getting those very long names or very complicated names to make them more individual yet retain a certain format. This is why on the internet every webpage uses a group of numbers. Lets not forget that the Borg admire efficiency. So.. what's the easiest and most efficient way to name your drones?