in one sense it's safer connecting through a router, wireless or otherwise, in that your computer no longer has an externally routable IP address. Meaning that nobody can enter or scan your IP address and connect to your machine to perform mischief. Course, you still have to watch the stuff you bring in on purpose for virus and trojan.
What they are talking about security wise is the fact that the encryption that is used if you turn it on is not unhackable. Somebody could sit in their car outside your house for a day or two running the software and come away with the password to your network so they could watch your packets go by.
I don't really consider this a big problem. Anytime you buy anything online or do any online banking you're already at an https: site, meaning that the stronger encryption of the browser is on top of the low grade encryption of the link itself. so nothing to worry about there. It is possible that if your neighbor has a kid with a lot of time on his hands he could hack your connection and watch all your chat packets go by or your email download or something. but then, all your chat packets and email goes unprotected through thousands of other networks on it's way to where it's going and people can listen in there too. (OK, not thousands, but it can be quite a bit)
If all you have is a wireless router and a laptop, then the machine is only vulnerable to an inside attack while it's on and there isn't anything else pluged in but the router itself. So even if they did this what fun would it be?
Unless you want to share with your neighbors, turn on the protection, such that it is, and set a password other than the default. That will keep people from casually using your connection if they happen to be in range. Otherwise maintain good internet hygiene as usual and you have nothing extra to worry about.
When my friend in the big city had his DSL go down for an extended period of time as they rewired his building, he took a wifi antenna out on his balcony and scanned up and down adjacent buildings until he found an open system to borrow for a few days /ubbthreads/images/graemlins/wink.gif The other person never knew, but he wouldn't have abused the privilege anyway... Not having the encryption turned on just means that the CIA can read your email without having to actually get out of the car and attach to the phone lines /ubbthreads/images/graemlins/wink.gif