My 1/50 of a buck fwiw:
A software firewall is better than nothing at all. If all you have is a NAT-ing router, continue to use your software fw.
A dedicated firewall is definitely a preferrable option. While I think SmoothWall is a fine choice, I think a better choice would be a very minimal install of your favorite flavor of Linux.. no Xwindows, no webserver, nod DNS server etc... Just basic Linux with Netfilter (IPtables), routing and a couple of NIC's. There are plenty of good books/websites with all the info you would need to craft an iptables script that will effectively control and log your internet traffic in BOTH directions.. or if you can't quite grasp the syntax, there are plenty of people (including myself) that would be willing to throw together such a script, which you could modify for your specific environment.
As for AntiVirus protection, I'm not familiar with ZA's AV features, but whatever you choose to use, update your virus signature files frequently (ie- daily !!) At the corporate level, we are using McAfee's 8.0i product, which offers an improving level of application intelligence.. it can prevent and/or alert you to various types of egress traffic as well as perform some port filtering at the workstation level.... I'm not sure if this feature-set has found its way into thier consumer-level product line yet, but it certainly will. I'll stress again,,, what ever AV solution you use, UPDATE DAILY!
Best of luck,