Well, this is always a good debate. Someone can hijack and use your wireless network if you do not secure it. If you live in an urban area with a lot of people close by, this becomes a real concern. There are a few simple things you want to do to secure your network:
1) CHANGE YOUR ROUTER PASSWORD!!! This is first and foremost. By default, most all routers of a particular brand share the same widely known default password.
2) Stop broadcasting your SSID. Your routers manual will tell you how to do this. In my opinion, this will protect you from 99% of the possible attacks. Chances are, the neighbor across the street won't know you exist if you stop broadcasting your SSID.
3) Control DHCP. Again...check the manual. Have the router's DHCP server only hand out IP addresses to your machines (based on MAC address). Now someone has to know your network addressing scheme to add themselves to your network (again, the average Joe is not sniffing packets to get this)...
4) Which leads me to this one...Change your network address. DOnt use the default 192.168.1.0 for example. Keep the 192.168 (keeps you private, non-routable) but make the 3rd octet something between 1-254 to throw people off (i.e. 192.168.10.0).
5) Encryption..I believe the previous 4 steps are going to eliminate your threat from all but the real geek down the street from you (and only if he really wants to break in). For him, you will want to enable whatever encryption scheme you have available on your router (i.e. WEP). Sorry, but again, check the manual. This is fairly easy to do, however, this is the only step of the 4 that can really be a headache for the novice.
now...All that said...I firmly believe that there is no such thing as a secure network. If someone wants in bad enough, with the right know-how, he's going to get in. You just don't want to make it easy.
I hope this helps, (Sorry about the "Read your manual", but every router is a bit different).