What should be my filing status if I make 450K in CA?

I make 450K/year. Base is $205K and the rest is company RSUs. Wife does not work. I understand that my filing status should be "Married filing jointly" but a friend suggested that in the W4 form I should mention "Married filing separately" as my income is high and I would save more money. I'm confused because status on W4 and when I actually file the return will not match. So what should be the status I should reflect in W4?  Married filing separately or Married filing jointly? Please advise.