Yes,首先 is often used at the beginning of a sentence. It tells the audience that the speaker first want to seapk.

I suppose it would be better if you use "先" instead of "首先".

yes,you are right~but it will be better if you replace和 with 并且,say as我非常害羞并且不是很自信，then better~~~

The ancient Chinese word "首" means the head of a human, 先 is a modern word which means first (from head to toe, 從頭到腳). 首also means 先. In Chinese, single word has many meanings. But, when two or more words together in forming one meaning, its meaning is unique. "首先" is a unique meaning for first. 我非常害羞和不是很自信， 请你 (首先) 对我说你好！ correct

No, you should say '先'. 首先and先 are not just about formal or informal, as Ann said. 首先and先have the exactly same meaning as 'firstly', but their usages are slightly different. 首先is formal, often heard in a speech and it's often seen a sentence begins with 首先.For exaple:首先, I'd like to say thank you to all present here today. If you want to use 先,the sentence would be: I'd like to 先 say thank you to all present here today. In your case, 'firstly' is right before the verb, and also the whole sentence is rather casual, so you should say'先'. In practical usage, 首先 has another meaning as 'basically, per se, etc'. For example: This problem首先is a problem of security. It's also a very formal situation and 先doesn't have sucn usage. To sum up, when meaning 'first in order', 首先is often formally used at the very beginning of the sentence and 先 is often used right before the verb. （Maybe there are some exceptions, as language is rather flexible, but it's very rare.）And when 首先 appears in the middle of a sentence, it often means 'basic, fundamental, essential, per se, etc'.