In order to further lock down your Virtual Private Server (VPS) you will need to install a software-level Firewall.
The best option changes depending on your needs and operating system.
A few common Software Firewall's are listed below. All of the below options are free:
Window's come pre-installed with a very reliable option, Window's Firewall. You'll be able to find lot's of information online about how to configure it to meet your needs.
IP Tables is a very robust option for all your Linux servers. You can click here to learn how to install and manage IP Tables.
ConfigServer Security & Firewall (CSF) is a very common option for cPanel servers. It is very easy to install and use. You can click here to learn how to install and manage CSF.