Advice on marriage!

So my fiancé and I plan on getting married next winter. The only thing is he doesn't want a marriage license because he said we don't need a piece of paper to say we love eachother. 
Which I know we don't, but would we even be married and would it even be legal? I mean I wouldn't think I'd be able to even change my last name to his because of it too. 
Advice?