If you really want to know what your pc is doing, setting up IPTables using scripts/manual editing is by far the best way to go. Hard work, but worth it...
And if you know your way around a network it shouldn't take you that long, just google a lot, and take a look at all the examples here in the forum. Best to go for a "block-all-then-allow" policy as you say, and don't open anything you don't need.
Webmin is good for editing settings, but you should still familiarize yourself with the scripts and how IPTables handles them.
Also, while editing firewalls, it is quite easy to lock yourself out using ssh or web-GUI, so local access is always nice...