You cannot legally file using single status. That's tax fraud and should be worth about 3 years in Club Fed. Married Filing Separately is almost always more costly than Married Filing Jointly.
As a married couple, you have major financial and tax advantages. For example, a married couple has at least double the earning capacity of a single, yet a married couple's basic expenses increase less than 20% of a single's actual essential costs of living. Financially, you are so much better off being married that it is silly to bristle over this year's taxes.
You don't "get a larger tax return." You FILE a tax return. A tax return is the forms and schedules that you file with the IRS.
If you are married, your only options are Married Filing Jointly and Married Filing Separately. You cannot file as Single so it's irrelevant how much tax you'd owe or refund that you'd get if you filed Single. Filing as Single when you are married constitutes tax fraud. While the IRS would usually treat it as an innocent mistake, you would be forced to amend the returns and correct the error in fairly short order.
You don't automatically "get a lot more money back" once you marry. In truth, unless your incomes are modest and you each had children going in to the marriage, your total tax liability (and therefore any refunds) will not likely change much at all.
In reality it's pretty common to see much smaller refunds and even tax debts with newlyweds as they tend to run out and change their W-4s at their jobs to Married and typically claim 1 or 2 allowances on top of that. That results in their being severely under-withheld at tax time. If both had children going in to the marriage and both were nearly maxing out on the EIC, it's entirely possible to see a $10,000 plus reduction in tax refunds.
If children are not involved and your incomes are similar, filing MFS may not make much difference at all. As the disparity between your incomes increases, the advantage tilts slightly towards MFJ. If only one works and has income, MFJ is always preferable. When kids are involved, MFJ is virtually always preferable.