The word 마지막으로 is actually closer to the word "lastly". For example, when there is a singing competition an you are introducing the last performance, you would say "마지막으로 we will hear from ...." It implies the thing at the end of an ordered list. If you were shopping and the last thing to get on the list was cheese you could say "마지막으로 we need cheese". The word 드디오 is closer to the word "finally" and is typically used when a long, boring, or arduous task is finished. If a boring speaker finishes, you would probably say "드디오 he's done!" You would also use it when arriving at a destination after a long trip. It implies a feeling of relief.