A firewall would definitely be good. Zonelabs free firewall, ZoneAlarm, is very highly rated and pretty easy to manage. Paying for the updgrade to Pro is even better. However, if you're using wireless in a public place, you almost have to assume that your security is compromised. It doesn't take an enormously competent hacker to "sniff" the traffic and intercept anything you send/receive. It takes a bit more skill to actually get past your firewall into your machine, but it's definitely possible. (these are true of a "plugged in" home computer, too, by the way). I would recommend always keeping the wireless capability turned completely off when you're not using it -- and if you're making purchases online over wireless at the airport or something, keep a good eye on your credit card statement
I actually tend to be less careful than I should be and haven't noticed any problems yet. However, I'm probably a less desirable "target" than an SF officer.