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If you're behind a hardware firewall such as any router available, you don't need to enable the software OS X firewall. It doesn't hurt to have it on, but it's not necessary.

If you go and use public WiFi or another network, you'd be wise to enable it.

Either way, having it enabled shouldn't affect your speed so much where you can notice it.
 
You don't need it... I've used my MBP for two years on home routers and public wifi with no problems. But I enabled it a while ago and I haven't noticed any diff in performance. So you may as well enable it. Why not when it doesn't sacrifice anything?
 
If you're behind a firewall such as a router you're usually fine. However I'd recommend enabling the OS X software firewall also.
 
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