What firewall uses that much CPU? Free ZoneAlarm uses unmeasurably little CPU. You definitely need one though, it prevents nasty stuff tugging at your various PC ports until it finds a back-door in. My copy of XoneAlarm tells me it has blocked 16,385 intrusion attempts, 279 being high-rated, since it was installed (when, it fails to divulge - could be a couple of years...)
A hardware firewall is common these days - as long as you can lock it down hard.