Nothing. Just make sure that your internal Firewall is turned on... and you are good to go. The firewall is controlled from the System Preferences - Internet & network - Sharing option.
The other thing I do for all of my Mac using clients is set up a "Standard User" account for every day work... save the "Administrator User" for installing software and housekeeping when necessary.
A "Standard User" can do everything on the Web, run all software, etc., but cannot modify the Applications directory or any system files, or install software without providing an Administrator's username and password. That way, if some future hypothetical malware that can evade the Mac's industrial strength security IS downloaded by the Standard User, the only thing that can be affected is the users files.
The easy way to do this is to create a new account, make it the Administrator Account, then change your existing account from Administrator to Standard. Don't forget the Administrator account password...
Good Lord, the firewall is turned off! How do I get it turned on? And what about the list of options under the Allow sceen?
Re: #12, I fixed it.