Hello!
You can rename “Name” field on “First Name” on Subscribe tab in Subscription fields block – click on cogwheel icon – http://prntscr.com/9yxdxy and rename field and click OK – http://prntscr.com/9yxf29
In order to create Last Name field – click on “Add” button – http://prntscr.com/9yxfqf and set the “LNAME” for Name parameter – http://prntscr.com/9yxggm Also set the label for field.
That is all!
Besides you can simply disable Name field, uncheck it – http://prntscr.com/9yxil6 Then create new field for First Name and set “FNAME” value for Name parameter of this field.