Setting up navigation links for posts (first, prev, next, last)

This gist should get you started.

<?php
/*
Plugin Name:    Easy Pagination Deamon
Plugin URI:     http://wordpress.org/extend/plugins/stats/
Description:    Offers the deamon_pagination($range) template tag for a sematically correct pagination.
Author:         Franz Josef Kaiser
Author URI:     http://say-hello-code.com
Version:        0.1
License:        GPL v2 - http://www.gnu.org/licenses/old-licenses/gpl-2.0.html
Text Domain:    pagination_deamon_lang

Copyright 20010-2011 by Franz Josef Kaiser

This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation; either version 2 of the License, or
(at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA  02110-1301 USA
*/

// ==========================================
   Styles see https://gist.github.com/818523
// ==========================================

// Secure: don't load this file directly
if( !class_exists('WP') ) :
    header( 'Status: 403 Forbidden' );
    header( 'HTTP/1.1 403 Forbidden' );
    exit();
endif;

!defined('PAGE_LANG') ? define( 'PAGE_LANG', 'pagination_deamon_lang' ) : wp_die('The constant PAGE_LANG is already defined.');
!defined('PAGE_VERSION') ? define( 'PAGE_VERSION', 0.1 ) : wp_die('The constant PAGE_VERSION is already defined.');
!defined('PAGE_PATH') ? define( 'PAGE_PATH', trailingslashit(WP_PLUGIN_URL."https://wordpress.stackexchange.com/".str_replace(basename( __FILE__),"",plugin_basename(__FILE__))) ) : wp_die('The constant PAGE_PATH is already defined.');

    /**
     * Register styles
     */
    if ( !is_admin() ) {
        wp_register_style( 'pagination', PAGE_PATH.'pagination.css', false, PAGE_VERSION, 'screen' );
    }

    if ( !function_exists('oxo_pagination_styles') ) :
    /**
     * Print styles
     */
    function oxo_pagination_styles() {
        if ( !is_admin() )
            wp_print_styles('pagination');
    }
    endif;

    if ( !function_exists('oxo_pagination') ) :
    /**
     * WordPress pagination for archives/search/etc.
     * 
     * Semantically correct pagination inside an unordered list
     * 
     * Displays: First « 1 2 3 4 » Last
     * First/Last only appears if not on first/last page
     * Shows next/previous links «/»
     * Accepts a range attribute (default = 5) to adjust the number
     * of direct page links that link to the pages above/below the current one.
     * 
     * @param (int) $range
     */
    function oxo_pagination( $range = 5 ) {
        // $paged - number of the current page
        global $paged, $wp_query;
        // How much pages do we have?
        if ( !$max_page )
            $max_page = $wp_query->max_num_pages;
        // We need the pagination only if there is more than 1 page
        if ( $max_page > 1 )
            if ( !$paged ) $paged = 1;

        echo "\n".'<ul class="pagination">'."\n";
            // On the first page, don't put the First page link
            if ( $paged != 1 )
                echo '<li class="page-num page-num-first"><a href="https://wordpress.stackexchange.com/questions/318361/.get_pagenum_link(1).">'.__('First', PAGE_LANG).' </a></li>';

            // To the previous page
            echo '<li class="page-num page-num-prev">';
                previous_posts_link(' &laquo; '); // «
            echo '</li>';

            // We need the sliding effect only if there are more pages than is the sliding range
            if ( $max_page > $range ) :
                // When closer to the beginning
                if ( $paged < $range ) :
                    for ( $i = 1; $i <= ($range + 1); $i++ ) {
                        $class = $i == $paged ? 'current' : '';
                        echo '<li class="page-num"><a class="paged-num-link '.$class.'" href="'.get_pagenum_link($i).'"> '.$i.' </a></li>';
                    }
                // When closer to the end
                elseif ( $paged >= ( $max_page - ceil($range/2)) ) :
                    for ( $i = $max_page - $range; $i <= $max_page; $i++ ){
                        $class = $i == $paged ? 'current' : '';
                        echo '<li class="page-num"><a class="paged-num-link '.$class.'" href="'.get_pagenum_link($i).'"> '.$i.' </a></li>';
                    }
                endif;
            // Somewhere in the middle
            elseif ( $paged >= $range && $paged < ( $max_page - ceil($range/2)) ) :
                for ( $i = ($paged - ceil($range/2)); $i <= ($paged + ceil($range/2)); $i++ ) {
                        $class = $i == $paged ? 'current' : '';
                    echo '<li class="page-num"><a class="paged-num-link '.$class.'" href="'.get_pagenum_link($i).'"> '.$i.' </a></li>';
                }
            // Less pages than the range, no sliding effect needed
            else :
                for ( $i = 1; $i <= $max_page; $i++ ) {
                    $class = $i == $paged ? 'current' : '';
                    echo '<li class="page-num"><a class="paged-num-link '.$class.'" href="'.get_pagenum_link($i).'"> '.$i.' </a></li>';
                }
            endif;

            // Next page
            echo '<li class="page-num page-num-next">';
                next_posts_link(' &raquo; '); // »
            echo '</li>';

            // On the last page, don't put the Last page link
            if ( $paged != $max_page )
                echo '<li class="page-num page-num-last"><a href=".get_pagenum_link($max_page)."> '.__('Last', PAGE_LANG).'</a></li>';

        echo "\n".'</ul>'."\n";
    }
    endif;
?>