We got married last year. Yes, if you're married on midnight of 2015, the IRS considers you to have been married for the entire year.
As far as withholding or whatever now, just figure out what you estimate your joint tax rate to be (as if you were already married), and put in a number of allowances so that you think you'll get to around that amount of withholding. There are calculators online you can use.
Alternately, max out the number of allowances you can do, and know that you'll write a huge check at the end of the year. As far as not loaning the government money for free all year, this is the best route, but it will require some serious planning to account for the check you'll be writing come tax time.