You file one tax return for the whole year, based on your total income, deductions, credits, dependents, and filing status. If you paid more into the system than your tax bill, you get the difference as a refund.
Getting married gives you a larger standard deduction, and will lower your tax bill if your spouse does not work. However, if your spouse also has a job, you need to take that job into account when filling out the W-4 (all the worksheets on all 4 pages) and then file new W-4s with both jobs based on that calculation.
