jannAZ, there are two schools of thought
1. If you have a hardware firewall in the router, you don't need or want the OS X firewall on.
2. Just keep it on all the time.
Advocates for #1 say that there can be interactions between the two firewalls that could be hard to diagnose, and that having multiple firewalls doesn't provide any more protection.
Advocates for #2 say that the potential for interaction between the two is very slight, and easily diagnosed by simply turning off the software firewall if you suspect anything. They also argue that human nature is to forget to turn on the software firewall when you DO need it, like when you take your MBP to a public network, so just leave it on and you won't forget.
Like a lot of things, this gets to be a "religious war" pretty quickly. Do what you think best for you. If you take your MBP out a lot, leaving it on may be quicker and easier and safer. But if your MBP sits on your desk or only in your network most of the time, you can leave it off safely, too.
Personally, (and it is personal) I have mine on. I just don't remember to turn it on when I do take my MBP anywhere, so it's just easier to not have to worry about it.
As with everything, YMMV.