"Do I need a physical firewall and a software firewall?"
My answer would be a straightforward yes. A physical firewall is cheap, and effective. It will keep a lot of junk out - and it gives you an easy way to share your internet connection.
If you have a physical firewall and a software firewall, you should run them both. After all, if you had two locks on a door would you just choose one of them? People have deadbolts for a reason.
And the last one - do I need a software firewall at all? Well, we wouldn't have spent years writing Online Armor if we thought you didn't :)