try changing:
$WA_PP_ECO_Set_params[1][$nextIndex] = "".(WA_getSavedFormValue("CheckoutWizard_Cool_nzanlp","First_Name")) ."";
to:
$WA_PP_ECO_Set_params[1][$nextIndex] = "".(WA_getSavedFormValue("CheckoutWizard_Cool_nzanlp","First_Name")) ." ".(WA_getSavedFormValue("CheckoutWizard_Cool_nzanlp","Last_Name")) ."";