They were all given their names before the warehouse meeting. We know this because two cops are following Mr. Orange and the gang to the warehouse, so they already knew he was inside. The cops did not know he was inside until Mr. Orange met Holdaway at the diner, during which meeting he told Holdaway how he had met Mr. White and that he was Mr. Orange.
The meeting at the warehouse was just to give everybody their names to each other, kind of an introduction. Watch Mr. Pink when Joe is announcing the first row -- Mr. Brown, White and Blonde -- you can see him reacting as each name is called. He decided to protest then, because a) he wanted to wait until everybody was there, so they would know the name was just random, and not any indication of his true personality or b) he saw how nobody else had a "girly" name and reacted accordingly or c) both a and b.
Interesting twist: Joe tells Pink there is actually a worse name than Mr. Pink, which is Mr. Yellow. Now, none of the Dogs is truly named Mr. Yellow, however, one of them has a color which is basically Yellow. Was Tarantino hinting at his true feelings for one of the characters?