Fear, and solution.... Firewall

I am a pretty security concious person, and yet I stay online a lot, and also do adventurous stuff, like using a VM running OSX. However, I can't trust no one. So how can I make sure that the VM I am using is not contaminate with spyware that extract and return critical data to some motherland site? The key is by using firewall. So I search sites and found that in Mac land most Firewall cost money, like Net Narrier and Net Mine. But then I found NoobProof and Waterroff, which helps me to combat mysterious outbounce traffic.