首先,+ [clause];其次,+ [clause];最后,+ [clause]
[subject] + 首先 + [verb phrase]
首先, 其次 and 最后 mark the points of a talk, an essay or a set of instructions in order: first, second, last. Each opens its clause or sentence, usually followed by a comma. The register is careful speech and writing.
With more points, 再次 "thirdly" or 第三 can come between 其次 and 最后.
首先 can also sit after the subject, before the verb, in the slot for adverbs.
首先 and 最后 can describe the order things happen in. 其次 only ranks points – "next in importance", "the second consideration" – so it doesn't fit a sequence of actions. For actions in time, use 先…然后… or 先…再….
最后 is the last item, or "in the end". 后来 means "afterwards, later on" in a story and doesn't close a list.