Quick update, after skimming the link Compound posted, most of it doesn't need to be done if you use the .htaccess method.
Also nothing the author suggests will stop some one exploiting a bug in prosper that maybe found in the future.
The .htaccess will stop any future exploits as long as they aren't in the files in the publicly accessible directories.
Also in step 6 the author suggest using SSL. While he is mostly right about the scrubbing of the referrer (not all browsers will scrub the referrer with SSL, IE6 using frames wont) he doesn't mention that it will be substantially slower, since the SSL connection has to be negotiated before any actual data is sent.
This will increase you load time by seconds. I have seen prosper redirects go from less than .2 of a second to will over 2 seconds with SSL.
If you don't care about speed, then I would say go for it, but I wouldn't bother.