Two OSX Computers in Physical Proximity: Options?

I have two macs right next to each other. They are both on the same network and I can see both of them with a KVM switch and VNC (when the KVM is too annoying). However, I'd like a faster network connection between them, perhaps with low security. Is it possible to somehow use a cross-over cable to connect them, and then share things ONLY through that connection? Would that be faster, generally speaking, than my Wifi network (router is 5 years old at least)?

Yes. To have them share across that connection, make sure you drag the ethernet connection to the top slot in the service order. Go to system preferences --> network. Click the little settings gear at the bottom of the list and choose "Set Service Order". It will likely already be first but it can't hurt.

The connection will be much faster, and as long as you use the address given to the wired connection (or set the wired connection as the gateway for the other wireless address) apps will naturally use it.