The only time that you update your status to CIC is when you file your sponsorship to CIC. There is a form in the application package, where you need to fill your current marital status, your spouse's name and etc, of cause, you need to submit all required evidences to show that your marriage is valid, your relationship is genuine and your sponsorship is not for the sole purpose to secure an immigration VISA.
Also, you do need to file an amendment to CRA to update your marital status to married for the Tax Return purpose. If you don't know how, please ask a tax consultant.