There is no RJ45 / ethernet port on my macbook. Do I need a thunderbolt or USB or HDMI adaptor?
Or should I just buy a mini wireless router?
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Your best bet is Apple's Thunderbolt to Gigabit Ethernet adapter.
There are also assorted USB ethernet adapters available from various sources (including Apple), including a few Gigabit ones that use USB 3.0, but the Thunderbolt one will likely have the best performance, so unless you're using both Thunderbolt ports already, that's the better choice.