A firewire cable will work but it is not the best solution. It is, however, faster than ethernet.
To connect the two together, on a permanent basis, it would be best if you purchased a switch. If you have broadband internet access, Cable/DSL, then a Router would be a better choice. Just connect the Modem to the router and the two machines to the ports on the router. Once the two machines are configured, usually DHCP, and file sharing is turned on, the two machine will see each other.
OS 9 and OS X should be no problem, as long as you check the box on the OS 9 machine that says "Allow users to connect using TCP/IP" or words to that effect. That's in the file sharing control panel. Don't forget to share your drive or folders.
Let us know which way you intend to go.

P