What is prefacing paragraphs with "first," "further," and "also" called?

These words are called transition words. A lot of people use them, and they are especially helpful when describing things that are happening in a specific order.

I would simply call this enumeration. It is one way of making a rhetorical argument based on listing points and drawing a generalized conclusion based on inductive reasoning.

There are many ways of describing this sort of language, depending on what you want to emphasise. One common term is signposting - the metaphor being that these words are like roadsigns, letting the reader know what lies ahead, warning them of any sharp bends coming up (and possibly also letting them know when it's time for them to turn off :-)

To answer the other parts of your question: it's fairly common to use this sort of technique, and virtually essential in any sort of complex expository writing. There is nothing odd about it, and though it's probably more common in more formal writing, it's not especially formal in itself.

On the whole it makes the text easier to follow (because the reader knows what to expect in what they are about to read) and is good technique. That said, like any device, it can be over-used (don't write: Please buy me three things: firstly, cheese; following on from that, apples; finally I would like some cake—better to write Please buy me cheese, apples and cake), and it's important to vary the words you use (if every time you begin something you start with Firstly the reader may get confused, and will almost certainly get bored!)

These are a standard way of making your essays more cohesive. As @MikeVaughan said, they are called Transitional Words and they can work in a couple of different ways.

Temporal Markers put the parts of your essay in order according to the time of the events you are describing. Here, words like First, Secondly, Then, Later, and so on would be used to show the time relationship between events.

Semantic Markers indicate the relationship between different points according to meaning. Here, words like Although, Therefore, Moreover, and so on would tell you how one point/idea is related to another.

In both cases, it is definitely helpful as it adds structure and cohesion to your writing, helping the reader follow your train of thought more closely. Aside from that, it is indeed standard writing practice. In schools, the inclusion of these words contributes to the overall mark of an essay (I am a teacher).

Since you say that you do this without being aware of when you learned it, maybe run a google search for Transitional Words and Phrases to see if you can expand your vocabulary for the future.

Hope this helps.

N.B. First, Next, etc. can be semantic as well as temporal, since they can show the significance of a point as well as sequence.