Remember that in general its only other users INSIDE that network might be a threat. From the Internet at large, you should still be invisible.
Turning on the Firewall on your Mac is a great idea.
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Using a VPN the increase security is completely WRONG, so I am completed to refute that idea.
A virtual private network, or VPN, is a private connection over the Internet from a device to a specific network. VPN technology is widely used in corporate environments. If you need to be "present" on an institutional network, a VPN is a great tool for accomplishing this. It is generally issued and controlled by the institution.
Almost all other uses are a SCAM. There is generally no need for you to have a private (and almost always MUCH slower) connection to a VPN vendor's Network, except to make it easier for them to harvest your data to sell. If you are behind a Router you control or Trust, there is NO security advantage whatsoever in using a VPN. Your connections are already encrypted in most cases.
If VPN vendors just stopped there, it would be bad. But many of these packages also insist on scanning all your files, non-stop, -- nominally looking for viruses, but who knows for sure what data they are harvesting. Their non-stop file reading punishes your computer's performance in the process.
Some also break into your other secure connections so they can be FIRST to examine your data, often leaving your Mac MORE vulnerable to attack.
https://gist.github.com/joepie91/5a9909939e6ce7d09e29