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add_filter('wp_nav_menu', 'add_first_and_last');
function add_first_and_last($output) {
    $output = preg_replace('/class="menu-item/', 'class="first-menu-item menu-item', $output, 1);
    $output = substr_replace($output, 'class="last-menu-item menu-item', strripos($output, 'class="menu-item'), strlen('class="menu-item'));
    return $output;
}