How do I set up file sharing and keep my Firewall on?

When I turned my Firewall on, I lost the ability to share files and screens on my LAN. When I looked at the advanced settings, I saw that File Sharing, Screen Sharing and Web Sharing were already set to Allow incoming connections but other, related, services, AppleFileServer, httpd, kdc, netbiosd, and screensharingd were set to block incoming connections. I reset the latter to allow incoming connections but was still unable to access my computer from another. Once I turned off the Firewall, I was able to access file sharing and screensharing from another computer on my LAN.
I have a firewall built into my external router so I have some protection but I still feel uncomfortable with the Firewall on my computer turned off.
When my firewall is on even with setting up to allow incoming connections, there are lots of console messages like:
1/8/12 3:00:00.882 PM Firewall: Deny netbiosd data in from 192.168.1.2:51619 to port 137 proto=17
They go away as soon as I turn off the firewall.
I did not find the Apple technical article "Set firewall access for services and applications" at http://docs.info.apple.com/article.html?path=Mac/10.7/en/mh18503.html useful at all.
Any ideas as to what is wrong?

I normally have a Firewall enabled. I recently had to do an erase and install of Lion, followed by a one-by-one re-install of all of my software. One of the first things I did was to set up all of my System Preferences the way I like them; Turning the Firewall on was one of them. Later I noticed it was off and turned it on again. I had already set up sharing and was surprised to see the problem when I turned it back on.
As to why do I think it needs to be on. It is another part of my security layer.

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