I think it's Console, firewall log or 'All Messages' will give reports of any attempted access from outside sources. Likewise I did not use the OSX firewall for years. Though I do presently with exceptions & blocks for various programs. I suspect if you have not had problems then nothing stopping continuing as you are. This does not mean you are 100% safe though! I have in past noticed some odd 'attempted' connections to my computer.

The following article is now old & refers to Leopard Server OSX so not sure it is applicable for Snow Leopard; Fixing Leopard