You may have to worry about them eating their babies, but filial cannibalism is something that can happen for a variety of reasons. Undernutrition, when the fish aren't being fed enough can cause it. So can inexperience as parents.
When the eggs hatch, you'll need to remove the larvae from the tank, but not remove the adult firefish with them. I believe that the University of Florida is working on raising the larvae to post-metamorphosis. Fair warning, it looks like it's hard.
If you can, look into getting a good breeder's book. I like Wittenrich's "Complete Illustrated Guide to Marine Fish".
