Yup... Firewall on, that's pretty much all there is to it. I know it seems absurdly simple after mucking about with PC firewalls... but there you go.
I also ensure "Enable Stealth Mode" is enabled (go to "Advanced")... I presume it makes me even more secure and I haven't noticed any negative side effects.
Some applications sometimes need specific ports opening in the Firewall (eg Salling Clicker, iChat AV, Remote Desktop, some Bonjour services, some network games), but don't worry about that until any of those applications start giving you trouble.
And welcome indeed. This forum rocks. You'll find 90% of all your Mac answers on here somewhere.
SL