The X-modem is your firewall. There no good reason to turn on OS X's built-in firewall unless you are forwarding all ports via DMZ or something. So you could just turn on sharing and be done with it. However, if you want the firewall on, I think the following could help.
I did a quick search and found
this article over at Mac OS X Hints. It seems to say that the guy is using
Brickhouse to configure the firewall and he has wireless clients, similar to what you want. Keep in mind, it just configures the built-in firewall so you aren't installing any new software, just a GUI to existing stuff. If you are interested in having a firewall running on your Mac, you are better off using Brickhouse to configure it anyway.
Now, looking at the
Brickhouse FAQ, there are some extra hoops to jump through to get internet sharing to work properly.
You could potentially just jump through those hoops and skip the Brickhouse stuff, but then you'd be customizing it on the fly. Either way, it's up to you.
But like I said, as long as you are forwarding only specific ports from your modem, that is enough of a firewall. Any time you are behind NAT makes breaking through to a computer all the more difficult.