Ya in OS X you don't need to do a thing. Just plug in a Ethernet cable and they will link up. In most cases, even if they are also connected over say a WiFi network, OS X seems smart enough to send file transfers over the gigabit network link, but you sometimes need to double check what link it is using.
In Windows 7 bootcamp with the same machines, you also can just plug in an Ethernet cable but you need to add some manual networking settings. I just used the same settings that OS X assigned automatically.
I keep a spare cable around and just plug my Macbook Pro up to my Mac Pro via Ethernet if I am going to be doing some huge file transfers otherwise I just do it over the WiFi network that I use for everything else.