Hi,
I am a new user of Mac OS X as well.
For those of you who know bits of UNIX, it might worth checking that all the unnecessary services are disabled (tftp, finger, etc etc..) or are "tcp wrapped" using tcpd (TCP wrappers access control) or the inetd daemon is not a startup process.
I *
think* Mac OS uses ipfw as a kernel-level firewall in much the same way Linux uses iptables or BSD Unices use a similar kernel-level process. There are GUIs that take advantage of ipfw and there are independent solutions. I personally use none at the moment because I am behind a corporate firewall anyway but all my services are disabled and tcp-wrapped if I were to need some of them, e.g. SSH.
Some info
here and
here
Hope it's of some use.
C
PS This has more or less all that's needed for a "bastion" Mac OS X:
http://www.securemac.com
C