You have an SME and another Linux box? I got confused by your post...
SME is a firewall. With only that between your LAN and your connection, it's pretty secure. However, I don't think SME supports USB modems yet, so you wouldn't be able to plug the modem directly into the SME. If you could get a modem with an Ethernet port, you'd be all set.
FYI, "Server & Gateway" mode is designed for a small business or something, where you want people to be able to access your web server and stuff. "Private Server & Gateway" is made more for a situation like home users, where almost everything is not available from the internet side (basically internet sharing with a few local services).