Ideal Firewall setup?

I’ve got a question, and I’m sure that there are some security specialists out there that can answer me.

I’ve got a network, where they’re using ADSL. So, they’ve got an ADSL modem in place, and behind that an ADSL Router is placed – making the actual connection to the internet.

Would it be good practice to replace this ADSL router with a Watchguard firewall? The Watchguard’s functionality allows it to “make” the ADSL connection; and offers more security options.

Sorry if this seems like a dumb question. I’m experienced with firewalls, but I’ve been dealing with so many different setups lately that I’m starting to question the most simple of setups…