fire wall on VPS

We tried both APF and CSF on my servers. I can make a conclusion that they are both good, there is no big difference between them :)
 
CSF is rather a wrapper program around iptables, iptables do the actual blocking, although csf includes other security features along side.
 
Yes, you can install a firewall on the main server and use it to protect all VPS on the same machine.

You can try to install eBox as a virtual server. It can be your virtual firewall.
You then configure your other virtual servers' network gateway to this virtual firewall.
 
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