If you want it in one action you'll have to use the "{EXP:}" token:
Set integer [First] value to 1
Set integer [Second] value to 2
Set integer [Third] value to the converted value of {EXP: {INT:First} + {INT:Second}}
Otherwise, this should work:
Set integer [First] value to 1
Set integer [Second] value to 2
Set integer [Third] value to the value of [First]
Set integer [Third] to [Third] plus [second]
Note that at the moment, the "Compute against a variable or token" box must only contain lower case letters, regardless of the actual variable name. This is a bug, reported
here.