The # probably indicates that it should be done as root.
chmod +x /etc/rc.firewall makes the file /etc/rc.firewall executable.
And yes, you should make scripts executable since they are of little use if they are not (I know someone could argue you could use
bash scriptname but that's not the point, is it?).
How to make something executable? You just posted an example on how to do it.
Håkan