nope... there's an option for the way it arranges your names (by First or Last name) which doesnt change how they are shown.. go into your iPhone's Settings and the either under Phone (1.0.2) or Contacts (1.1.1) check the options in there.
Weird. I have done that, but my contacts are wacked out. There are not in alphabetic order. For example I have some 'V' names under the 'S' header. Strange.