Applying for an FRL(M) is much like getting Entry Clarence as the Fiancee Visa including proving that whomever is immigrating would not utilize public funds. So I would say keep the same status that you needed for the fiance visa.
"notify the UK Embassy" is an odd remark all together. A little bit more background would help. I assume, munkiipoo, you are a British Citizen, but where are you getting married (since there are no UK Embassies in the UK, and everything Immigration wise falls under the IND which is part of HO). If you are getting married in England or Wales, hopefully you gave notice and will register your marriage at one of the 67 offices that deal with immigration controlled weddings. If that is the case, you will be ok, but you should apply with IND for the FRL(M) as soon as reasonable.
Again, note there are several postings in here about leaving the UK for your honeymoon without changing your status via the FRL(M).