if you give port access for the game you should be fine. I know i run some quake 3 servers and i just give my firewall router port access to the quake ports so people can connect and i still have my firewall.
If you have a physical firewall, like a router, for example, then you can forward the port. There is very little security loss when you do this, as they can only get to that port on your machine.
If you have a software firewall, and you let the game "act as a server" then it can open ports, and allow outside internet access in, and that has less security loss, as the security "leak" is only open when the program is open. Unless the program has a bug or something in it, then it's fine
Either way you do it, it's not a big security leak