You can do it, functionally, no problem at all. Not having some kind of firewall / firewall process leaves the two computer exposed to the wicked evils of the Internet......
Find a software firewall you like and use it, you won't be completely covered, but it's way better'n nuthin'.
(Don't forget that you'll need two addresses from the ISP, or run connection sharing ....which may or may not be a bad thing, depending on whose machine is giving up the resources to perform the share.)
FWIW
Scott