filezilla connect to localhost

I use XAMPP, and setup a database: wordpress and made a new user (via Privileges) for this database with username: wordrpress and also made a password. I am using Filezilla client for FTPing, and I used:

Host: 127.0.0.1
Port: 21
Protocol: SFTP (for security I was told)
Logon Type: Normal
User: wordrpess
Password: the password I set up in phpmyadmin for database wordpress

And do I have to use FTP, or can I just drap and drop files, why do I need to use FTP like Filezilla to transfer files.

Any help appreciated!