My board is getting fairly complicated now, and as I wire up pin strip headers and things I've noticed there's no indicator for which pin is pin #1 on them or almost any other part for that matter. I want to know which pin is pin 1 so I know I've oriented the header the right way on the board.
I set the first pad to be square in the DRC dialog, but none show up as square.
I figured it out. Options -> Set -> Misc -> Display Pad Names.
Don't know why that's not the default. But then Eagle is weird that way with many things being the same color that shoudn't be if you want to be able to spot errors as well.
Edit: this way doesn't get the pad numbers overlap with the pins and is easy to read.
Normally if you didn't create the library entry, you don't have control of the pin labels.
Say if you want to add some labels, you can create your own library of frequently used parts, then copy the pin header to your library, where you can open it, then add some names and save. Update your parts and you'll see pins.
Here's an article I just added:
In DRC>Shapes>First you can choose the shape of pads marked "First" as you already tried. The problem is that pretty much nobody marks the first pin when they're creating their part packages. You can go into the library, call up the appropriate package, right-click on the first pad, choose Properties, then check the "First" box. Now, if you use that part on a board, when a First shape is chosen in DRC, the shape of that pad will change to what you selected.
It doesn't add that much flexibility and isn't that much more convenient than just changing the shape of the first pin permanently in the library.
In general you'll want to mark the first pin on silkscreen anyway. When you've soldered a header in place, the square pad isn't visible anymore.
If you change it as I suggest, the number 1 and 8 will show on the final PCB's silk screen.
If I'm marking up the silkscreen I prefer to just do it without editing a part. Most times I don't even want a number, just a signal label.