Multiple Order By Statements In Union Select

I'm new to SQL stored procedures, but I'm looking to be able to select order by statement.

declare @OrderBy
@OrderBy = 'first_name'

Select first_name,last_name from table1
Union
Select first_name,last_name from table2

if @OrderBy = 'first_name' begin
Order By first_name
else
Order By last_name
end

You'll have to excuse my if statement if the syntax is incorrect (used to only writing asp ifs :P). Thanks for any help