Cool will look into it today after work.
As soon as you will do a few small trades on Gox you will be entitled with a free Yubikey. In the meanwhile, you can just use Google Authenticator. Anyhow, it's very important that you print the QR code and the private key string before even clicking on "SAVE". Otherwise, if you lose your phone, or if it fails and become a brick, etc. you will be screwed big time.
And do not forget to add the 2FA also to the "security center" option, otherwise a hacker will be able to change your security settings any time.