When comparing CheatSheet vs Little Snitch, the Slant community recommends Little Snitch for most people. In the question“What are the best Mac OSX apps for someone that's new to Apple?” Little Snitch is ranked 7th while CheatSheet is ranked 14th. The most important reason people chose Little Snitch is:
Little Snitch rules work even at login screen. Even when receiving attempted connection alerts, once logged in LS has stopped and requested permission for them.
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Pros
Pro Free
As in price, not open source code.
Pro Protected even at login screen
Little Snitch rules work even at login screen. Even when receiving attempted connection alerts, once logged in LS has stopped and requested permission for them.
Pro Comparatively easy to use
Easier to use than traditional firewall software, but more powerful due to design and workflow.
Pro Protects your privacy
Protects your privacy and helps to prevent unwanted connections.
Cons
Con Non negligible processor ressources use
For such a tiny app, with a very limited function, idle most of the time, it actually is using non negligible processor ressources (frequently around 2% when not in use, and totalling more than Alfred, Dropbox or 1Password, for example).