I have always called myself second generation. It made no sense to me to do otherwise. But that said, after thinking about it, I think it depends on the perspective you use and which nationality you are using as a reference point.

For instance, if your parents immigrated to the US and you are speaking about your connection to your homeland (say, Nigeria) you will call yourself a "second generation Nigerian". Your parents would be "first generation Nigerians" since they were born there.

On the other hand, you can refer to yourself as a "first generation Nigerian-American" (or hey, just an American) and be saying the same thing. I don't think your predessors would ever call themselves 2nd generation anything though, unless they were speaking about their own parents if they themselves were also immigrants (but to Nigeria). I think your parents in this case, as it concerned their connection between Nigeria and the land they immigrated to, would just refer to themselves as Nigerian-American immigrants.

JMO