Yes, it's easy enough to connect both PCs to a stand-alone hub (or a router) that has no external connection. You would use standard ethernet cables for this, and assign two different ethernet addresses from a group reserved for local operations (e.g. 192.168.10.xxx). The crucial thing for an audio PC is never to open a browser - just use Control Panel once to set up the addresses and then use Explorer to perform file transfers. This, of course, needs both computers connected at the same time.
It's quite possible to use wireless connection instead of wired, but to avoid any chance of audio breakthrough I would recommend that you install cabling.