I run a third party firewall,but if you are using Win 8.1 and above the inbuilt firewall is quite good and easily configurable!!
Or this,but you must pay for complete functionality!
I am not sure if Comodo firewall plays well with Sophos?It should,but others can chime in and advise,as I have not used it for some time!!
@Rod McCarthy: For safer from compatibility then Windows Firewall + tiny tool enhancement which only needs minimal maintenance. Usually a third party firewall contains drivers that sometimes can collide to other security products but in high chance of installation then they can play to each other.