Show login greeting above sub-menu links?

From your code it seems like you are using this modal login plugin http://wordpress.org/plugins/wp-modal-login/ Considering this, I am providing the necessary code to add the menu item to the menu.

You need to use the wp_nav_menu_items hook as below inside functions.php file of your active theme.

// Add the hook to the nav menu items
add_filter( 'wp_nav_menu_items', 'wti_loginout_menu_link', 10, 2 );

function wti_loginout_menu_link( $items, $args ) {
    // Get the global object for user and the modal login class
    global $current_user, $wp_modal_login_class;

    if ( $args->theme_location == 'primary' ) {
        $items .= '<li>';

        if ( is_user_logged_in() ) {
            $items .= 'Welcome, ' . $current_user->user_nicename;
        } else {
            $items .= 'Welcome, visitor';
        }

            // Add the modal menu to the nav menu
        $items .= ' ' . $wp_modal_login_class->modal_login_btn( 'Login', 'Logout', '', false );

        $items .= '</li>';
    }

    return $items;
}

Few things to note:

• The above code works with primary theme location. You need to change this to your theme location.

• I am using user_nicename, you can use first_name of the user object as per your code.

The above hook is also discussed here http://www.webtechideas.com/adding-login-logout-link-to-wordpress-menu/