function tml_add_signup_meta( $meta ) {
    if ( ! empty( $_POST['first_name'] ) )
        $meta['first_name'] = $_POST['first_name'];
    if ( ! empty( $_POST['last_name'] ) )
        $meta['last_name'] = $_POST['last_name'];
    return $meta;
}
add_filter( 'add_signup_meta', 'tml_add_signup_meta' );

function tml_activate_user( $user_id, $user_email, $meta ) {
    if ( isset( $meta['first_name'] ) )
        update_user_meta( $user_id, 'first_name', $meta['first_name'] );
    if ( isset( $meta['last_name'] ) )
        update_user_meta( $user_id, 'last_name', $meta['last_name'] );
}
add_action( 'wpmu_activate_user', 'tml_activate_user', 10, 3 );