For the most part, the above link says it all. Let me just reiterate what it is indicating.
Although it was written by and for Linksys routers, it can work with most others. The prinicipals are the same.
Before you proceed, go to the website, and look for firmware updates to your router. This is very important.
1. Make your SSID something different. A sentence is usally the best. Like "MyWifiNetRules" or "StayOutBadguys". (Ok. now don't use those).
2. Don't broadcast your SSID (that your wireless network exists). That is like saying to everyone in your neighborhood, I have $2,000 cash hidden in my freezer.
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3.Enable WPA2 (Instead of just WEP). WPA2 is a better encryption of data that travels over the wifi net.
4. (Optional) Setup MAC Filtering. This basically is like saying only people with this physical address (which is the MAC address of each computer in your home) can use my network. You can trick this, but the simple fact is, it is one of the best things to do, and if someone does use your MAC address, it should cause a conflict and you will know. (Because that computer won't work).
Generally speaking, if you live in an apartment or condo, and are not doing the above you are at a high risk.
Even in a residential neighborhood you are at risk. I have heard of people who don't get internet at all, and just use their neighbors Wireless connection.
One last note, most Wifi routers come with a built in Firewall, but it doesn't hurt to also enable the firewall that is built into Windows or OSX.
