It's essentially plug-n-play (or plug-n-prey as it used to be known). Just plug in the RJ45 and configure an extra set of rules in each firewall if required. Running the NSW is optional - especially if file sharing is not needed - as it just holds your hand; it can do nothing whatsoever about firewalls and won't even complete the network if the firewalls haven't been sorted. It's better to use the New Connection Wizard instead if you want some assistance.
Small supplementary answer: Yes.