There is no danger in receiving a ping and replying to it, but it is better to simply "drop" the packet, as it shows that you are "stealthed."
By the way - take the GRC results with a pinch of salt. It's very easy to use nmap's SYN scan to show that a host really _IS_ up and is not "stealthed," so GRC is really just providing misinformation. Or, rather, it isn't providing the full truth
If you can't find out how to do it using yast2, copy and paste the following line into terminal (konsole) and hit Enter:
Code:
iptables -I INPUT -p icmp -j DROP
Cheers,
-jk