Switching OS will remove all data on the phone. Make sure to backup anything that you want to keep (photos, documents, contacts, text messages, …). Google apps will be gone after the switch.
There’s more background on Fairphone open OS here. Expanded installation instructions can be found in this forum topic. When you’re up and running, there’s a community-written first steps wiki and information on how to install apps.
As for firewall recommendations, AFwall+ (F-droid) is popular on rooted devices.
I’m not an expert on FP Open OS, but there’s an entire subsection on the forum (#software:fp-open) where you can find contributions by people with more knowledge than me.