What kind of adaptor do I need to connect RJ45 / ethernet cable to my Macbook Pro Retina display? 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?
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.