In the US, 'Christian' is hardly ever used. If it is you could get a strange look, like you're referring to a some special Catholic name. Alternatives: first name, given name, forename, personal name.

I haven't heard the term Dago in a long time. I did hear it more when I was younger. It was not in joking or fun terms, it was a pejorative. Maybe it's been unused long enough to revive as more lighthearted, but I'm not too sure.