I installed Ubuntu 12.04
I then installed Gufw, enabled it and Set every known application setting to "Deny".
I never installed sshdaemon so I think its off.
My machine still responds to pings... but otherwise is it safe now?
You are "safe" a clean Ubuntu installation doesn't have any daemons listening by default.
What you need to do is define safe
You can also find out which ports are still open with nmap scanner: