Direct connecting do you mean. So long as you live at different locations then fine. If you live at same location then just network the machines. In order to direct connect you both MUST have your firewalls properly configured. This includes modem/router properly configured with UPnP or manually port forwarded. For tips on this see Connection problems? Check here first! (click on link) for the various sections that deal with this.

Another easy method is sending each other magnet links. See How to use Magnet Links & Direct Connect