This site has a good guide on setting one up..
http://www.speedguide.net/articles/router-configuration-guide-177
If you have a second computer laying around, make a dedicated using it.
The performice will be much better when your not playing and hosting a server on the same computer.
Copy the whole game from your computer to a flash drive or what ever.
Transfer it to the second computer and put the files in the Program Files folder..
Create a shortcut to the Legions.exe then edit its properties to look like the settings below.
Click on the new shortcut to start a dedicated server.. In the server folder you will find a folder named preferences. In that there is the config.cs
Name your server and edit the settings for it in the config.cs.
target: "C:\Program Files\Legions Overdrive\live\Legions.exe" -dedicated -mod-list=ModList_Server.txt -server-config=config.cs
start in: "C:\Program Files\Legions Overdrive\live"