As tikibar said, not all phones will alphabetize the way you'd like; sorting by first or last or a nickname is not an option. If your phone sorts by First Name, you *could* swap and put your contact's last name in the first name spot, and vice versa. So your phone would be showing you the contacts sorted by last name. Granted, this will be confusing, and when it comes time to transfer to another phone, you may have to swap them all back....
Is it worth the effort to change the way you enter them, to have them sorted by last name on the phone (forcing the sort by putting the last name in the first name field)? Or can you live with the first name sort order?
