It works
I just did this yesterday.
It's pretty easy -- just share whatever disk volume you want to copy from on your Windows box, connect the firewire cable to both machines, and you can browse to your Windows box in the Finder. Just click on "Network" and look for your machine.
If both machines are also on another network (like a home wireless network) you'll have to disable filesharing over the other network connection on your windows box to make sure you're actually transferring over firewire.
That said, once I got it connected, I was only getting around 100 Mbps, so it may not be that much better than direct ethernet.