Hi.

I'm Norwegian, so I'm going to try and help you out.
I presume that you are writing in English, but if you were writing the novel in modern Norwegian, the 'right' way to do the names would be to modernise them, so that 'Hrolf' is Rolf and 'Gylfi' is Gylve. These names are still used in Norway in these forms, and we almost always use them instead of the old versions of the names in daily use and for example in translations, and for modern Icelanders bearing Icelandic versions of names we find familiar.
However, if you are writing in English, it's a matter of preference. You could for example use the name 'Éirikr', but to me, that doesn't seem right in an English context. If you want the name to fit the English language, 'Eric' would be the 'best' choice, like we in Norwegian would use one of the modern versions 'Eirik' or 'Erik'. I personally like the names of both persons and places to fit the language I'm reading in the best possible matter, so I would be careful about using 'strange' letters or letter combinations like 'á', 'ø' or 'hr', as most English speaking readers wouldn't know how to pronounce them anyway. This, of course, depends on your audience.

Also, if you want to use Old Norwegian versions of the names, the initial 'H' in words like 'Hrolf' and 'hrafn', where it does not appear in the word's modern Norwegian counterpart, was dropped early as opposed to in Old Icelandic (if I remember correctly).

I hope this was helpful.

Tobias.