首先..., 其次... means "firstly..., secondly..." or "first..., then...". This structure is when addressing multiple points. A final point can be added with 最后 zui4 hou4 (lastly). The structure can be found in a single sentence, but can also be spread across multiple paragraphs.
When running into problems, first of all you should consider solutions on your own, then you should go find other people to help.
If you want a healthy body, firstly you need good sleep, secondly you should exercise more often.