See OSX Firewall settings for Tiger because even if you're using an earlier OSX the instructions are almost identical. Yes change port to another if you'd prefer.

Firewall that LW may detect might not be your softw firewall but your modem/router's internal NAT firewall. Check Connection problems? Check here first! (click on link)

BTW many OSX users don't even use their OSX firewall. Disabling it at least temporarily will allow you to know whether any firewall detected is from OSX or elsewhere.