This is a great first day of class activity!
If I allow students to choose a "new Spanish-class name," or if they will use the Spanish-language equivalent of their name, I also like to introduce students to their Spanish-language apellidos.
This PowerPoint simply explains the custom of giving children two last names or apellidos, and provides a few examples. You should be able to edit the slides to show students your own apellidos!
The last few slides are to help students fill out the "passport" I give them--which is a fun idea I found on a site called the Creative Language Classroom.