It is up to you!
Ideally you should not run two firewalls together. They should work OK but might not. Anyway, there's no point having two.
I like McAfee (Personal Firewall Plus) as well and also have it as my anti-virus. Others hate it!
If you are happy with McAfee, and are prepared to pay for it, then it is fine. If money is an issue or you don't like McAffee then get a freebie like ZA.