danyet,
Welcome to the Apple Discussions!
You can go through System Preferences> Netowrk and set up two locations, one for normal use and one in which you edit Network Port Configuration to uncheck the Ethernet port option.
Doing so will certainly ensure nothing reaches your Mac while offline, but as a practical matter it makes no little or no difference. You should have the OS X System Preferences> Sharing> Firewall enabled with all services disabled (unless you intentionally want to enable e.g., Windows Sharing). In Firewall> Advanced, enable Stealth Mode and disable unwanted UDP traffic.
A fairly inexpensive way to increse your physical security without having to switch the Mac's network location back and forth is to put a router with a hardware NAT firewall between the DSL modem and the Mac.