First steps with WiFly and Arduino

You mentioned about a serial adaptor for testing before. Is it this adaptor?
FTDI Serial TTL-232 USB Cable : ID 70 : $19.95 : Adafruit Industries, Unique & fun DIY electronics and kits

Almost, but this is the 3V version. I'd go for the 5V version as the standard Arduino runs it's pins on 5V. Usually 60% of the max level should be enough to trigger as HIGH but 3V is exactly on the edge then which is something I would avoid.

I often use the original Arduino USB2Serial LIght (http://store.arduino.cc/ww/index.php?main_page=product_info&cPath=11&products_id=143) or the Foca (http://shop.boxtec.ch/product_info.php/products_id/40332) which has the possibility to switch between 3V3 and 5V for the signal lines and includes a XBee socket to access any Bee directly from the PC.