Signing artwork.

I always get confused as to how I should sign my artwork. For some things I put my signature, others like paintings (on canvas or board) I write out my full name, and for a series of small illustrations I'm currently doing I write  only my first initial and my last name in full. I never know if there's a correct way to sign art. Are you meant to stick to just one signature or are you able to write it however you like? Hmm...