SSH: Transfer file to/from server?

When I'm logged in to my server via SSH in Terminal, is there a way I can transfer files to my computer from the server, and vice versa? Currently the way I have to do it is by logging out and then using SCP or something. I'd like to do it without logging out or opening a new Terminal window. There's gotta be a way, right?

Eidorian said:

man cp
man sftp (Well if you can ftp)

Click to expand...

But don't those require that my computer have open ports or something? My ISP blocks incoming data on SSH and FTP ports (and 80).