I asked the same thing during the first round that featured Lois - someone said that it was indeed confirmed in the pilot and/or in the special features of a DVD or something like that.

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The writers original wanted to keep the family's surname a mystery but it was already revealed on the show. The last name of the family has been revealed only twice in the show, in Malcolm in the Middle: Pilot (#1.1), where Francis wears the name tag "Wilkerson" on his school uniform (it can be seen best in the scene where he is talking with his family on the phone). Also, though unaired, it appears in a joke from the original pilot script. In that script, Malcolm was walking to school when a neighborhood kid came running up shouting, "Malcolm, Malcolm, Malcolm. I was talking to my parents last night - I was listening to them talk, and what's your last name?" "Wilkerson, why?" Malcolm replied. "Oh. Who are the Pariahs?" said the other kid. The joke was eventually cut. A special feature on the season 1 DVD stated also that their surname was Wilkerson. A trailer on the UK channel Sky One in early 2006 advised viewers to spend time with The Simpsons and "The Wilkersons," advertising Sunday night new episodes of both series. Another trailer was released to advertise the last episodes, of 24 and Malcolm in the Middle: it claimed "Say Goodbye to the Wilkersons." In Malcolm in the Middle: Graduation (#7.22), when Malcolm is being introduced for his graduation speech, his last name is not heard due to feedback from the microphone. Just before Malcolm gives his graduation speech, Francis drops his employee ID on the ground and it clearly shows his name as "Francis Nolastname", a nod to the fact that the family surname has barely been mentioned.

From Ecto's post quoting an IMDb faq.