Well, everything depends on how you will set up the network, and what OS you will be running.
If you are going to get a wireless router (I suggest you do) or and Apple Airport Base Station, then there is no need for a software firewall. The units have NAT (Network Address Translation) built into them, which works as a very secure firewall.
Also, if you are running OS X, there is already a software firewall built into the OS. If you are running anything before Jaguar, you will need some software such as Brickhouse to easily manage the firewall. However, if you have Jaguar, You can easily manage your software firewall in the System Preferences -> Sharing.
If you are setting your network up in such a way as to not have OS X and with no router or base station, then you will have to look into firewall solutions that others may have more experience with.
