Little Snitch only handles outgoing network connections on all network interfaces (AirPort, PPP, network cards, etc.). It intercepts and defers an application’s network access until you decide to allow or deny the request, or it handles the request automatically based on an already defined rule.
Little Snitch does not intercept incoming connections. They can be blocked with the built-in firewall of Mac OS X. This firewall can be configured in System Preferences > Security > Firewall (or in System Preferences > Sharing > Firewall on Max OS X 10.4).