You don't want to try and create financial records 2 years from now when audited (if you are that unlucky) -- the IRS does not assign much weight to backdated records constructed from possibly faulty memories.
However, *contemporaneous" records can be very useful. This might be a record from Quicken showing your expenses, or you might keep a diary or journal that you update once a week or once a month with the relevant information about finances, family events, and so on. A written description of your living arrangements.
Being family, it may be a bit more difficult to prove you were two separate households, than if you were renting from a stranger or a more distant cousin, but it all depends on the facts of your specific situation.
And of course, only one of you (you or fiancee) can claim HOH, the other would file as single. And the one who claims HOH must also claim at least one of your children as a dependent.
