According to the sources cited by the Gra on Shulchan Aruch Yoreh Deah 147:3, the prohibition against mentioning the name of a foreign deity does not apply to the name of Jesus, and in fact we find that he is mentioned by name in many sources.
In a very interesting teshuva, R' Esriel Hildesheimer discusses this issue at some length. He comments that the prohibition against mentioning a foreign god's name applies only to speech, not to writing and that the prohibition does not apply to speech for the purpose of Torah study or psak halacha.
Nevertheless, R' Hildesheimer writes that the traditional practice has been to avoid explicitly mentioning the name of Jesus (referring to him instead as oso ha'ish - "that person"), and it is proper to uphold that practice.