Well, the firewall you're using is the ipfw firewall in the kernel - no matter what configurator you use for it. It's a perfectly good firewall, to be sure.
Depending on your level of geekiness and desire to dig into what's going on on your computer, the best configuration method would be either to use a GUI like BrickHouse, or hand editing the startup files.
Nothing that specially mac-specific for security issues as far as I know - keep your patches up to date, use solid passwords, be aware that unattended physical access trumps all else, yadda yadda...