I think you need to contact the consulate(or revalidation post) to correct this. Correction is not really a problem. Go with good proof of what your first-name is, and what your last-name is(like birthcertificate, degree certificates, etc.,)
Try to correct it, before you come over, if this is first-time stamping, as it is going to be a whole lot more of paperwork if you do it later.
Also, its better even for the first-entry in the immigration counter.
Is it spelled right in your other documents(I-797 h-1approval, etc.,)