So it's quite easy to apply our notions of nationality and national borders to historical situations. The truth is that, especially during the late Anglo-Saxon and early Norman period, Wales and England, as national entities, were fluctuating rapidly and relations between Welsh and English are not always or necessarily hostile.

First off, whilst the Welsh people had a unified law system and language, they lacked political unity. Culturally speaking the Welsh also differed between those who lived on the coastline, those who lived in the highlands, those who lived in the east, west, north and south. Notoriously, the kingdom of Gwyneedd had strong Irish influence, due to previous Irish settlement. The kingdoms to the south and the east felt Anglo-Saxon and later Norman influence. The people living on the border would be accustomed with interacting positively with one another.

Being on the border between Wales and England would have been a very complex reality nonetheless. There were slave raids and wars but there was also commerce and cultural ties, important cities, like Shrewsbury, flourished as a border towns. Anglo-Saxons and the Welsh also allied against the Normans after the Conquest.

Before the Normans, Anglo Saxon rulers had on occasion claimed the status of overlords of Wales and Scotland. The most successful of these kings was Æthelstan. The claim was never pursued fully and acknowledgements and tributes were all that were demanded. The shift occurred with the Normans. Following the unrest in the border provinces after 1066, raids and attacks from Wales, the Norman monarchs established the Marcher lords. These lords, as you said, enjoyed considerable independence and their ultimate task was the protection of the kingdom on the border. The Marcher lords, using the century old connections and ties between the border, started to play in the affairs of Welsh kingdoms. Subsequently, Marcher lords, either though marriage or war, gained land in Wales. Some Welsh rulers became Marcher lords themselves, including the royal family of Powys. The region between Wales and England were now divided into three areas: Pura Walia, the March and England. The March became a melting pot of Flemish, English (mostly peasants escaping serfdom in England) and Welsh inhabitants. The Norman invasion introduced two centuries of warfare and instability in Wales and the border. Castles were constructed extensively. Wales has more castles per square mile than any other country in Europe. The instability on the border ended gradually over time, culminating in the Laws in Wales Acts of 1535 and 1542, as a consequence the mostly-Welsh victory at Bosworth Field.

If you're interested in Welsh, Norman, English and Anglo-Saxon identity and the history of how they interacted on the border with Wales and in Wales, I recommend:
- Gerald of Wales, The Journey through Wales and The Description of Wales
- R.R. Davies, The Age of Conquest: Wales 1063–1415
- Michael Richter, ‘National Identity in Medieval Wales’, Medieval Europeans: Studies in Ethnic Identity and National Perspectives in Medieval Europe

According to the Anglo-Saxon chronicle, border warfare in the mid-11th century was a regular problem. There were Welsh invasions of England in 1049, 1053, 1055 and 1067, the first three being instigated by Gruffydd ap Llewellyn, King of Gwynedd and Powys, who was one probably the most powerful native Welsh ruler prior to Llewellyn the Great in the early 13th century, hence why Ealdgyth, the daughter of Earl Aelfgar of Mercia, was married to him until his assassination in 1063, after which she married Harold Godwinson, who was then campaigning in Powys with his brother Tostig. The 1067 invasion was invited in by Eadric the Wild, an English nobleman in Herefordshire who teamed up with Gruffydd's surviving brothers, Bleddyn and Rhiwallon, to engage in plundering raids and guerrilla warfare against the Norman garrison in Hereford Castle (possibly the oldest medieval castle in England, built in 1052 by Ralph of Vexin, the nephew of Edward the Confessor, and largely destroyed by the Welsh in 1055, but refortified by the Normans in 1067). Orderic Vitalis tells us that the Cheshire rebels in 1069 - 1070 teamed up with the Welsh as well until King William sorted them out. Welsh invasions seem to have been less of a problem from c.1070, when the Normans began to take the fight to the Welsh culminating in William the Conqueror's own campaign in 1081 which began the Anglo-Norman conquest of South Wales, though the biggest inroads in terms of territory gained were not made until the reigns of his sons William Rufus and Henry I. Certainly this was a very militarised frontier zone as was clear from very early on with stuff like Offa's Dyke and as it would remain so until at least the Edwardian Conquest of Gwynedd in 1282 and, in residual ways, arguably up until the Act of Union with Wales in 1536, which would do away with the marcher lordships, turn the uchelwyr (the native Welsh middling landed elites who acted as intermediaries between the marcher lords and the peasantry) into an Anglo-Welsh gentry and introduce the English shire system of government (sheriffs, Justices of the Peace and assizes courts) and parliamentary representation across Wales, Cheshire (formerly a county palatinate) and the bits of Herefordshire and Shropshire formerly under marcher lord control. In Anglo-Saxon times we certainly weren't at the age of the marcher lords yet, but local elites seem to have taken the initiatives against the Welsh into their own hands i.e. the Anglo-Saxon Chronicle tells us of how in 1056 Bishop Leofgar of Hereford, in what was arguably a violation of canon law, “abandoned his chrism and his cross, his spiritual weapons … and took up his spear and his sword, and went thus to the campaign against Gruffydd, the Welsh king" - this campaign ended in disaster with Leofgar, Aelfnoth the county sheriff and loads of the best fighting men of Herefordshire being killed. After the Norman Conquest, King William entrusted the shires bordering Wales to some of his most trusted followers i.e. William FitzOsbern (who also served as regent of England during the king's absence in 1067) was Earl of Hereford, Roger of Montgomery (one of King William's principal advisers, especially at the Council of Lillebonne in 1080) was Earl of Shrewsbury and Hugh of Avranches was Earl of Chester. These figures weren't quite at the level of the great marcher lords of the 12th and 13th centuries, the ones in Wales themselves effectively running their own feudal micro-states, but they did command huge knightly followings, much bigger than the other English earls, and were given a lot of local initiative - Orderic Vitalis provides us with some wonderful descriptions of them in Book IV of his Ecclesiastical History - he likes Roger of Montgomery, who employed his father Ordelerius (a Norman priest at Atcham in Shropshire), by praising him as just and prudent lord, but dislikes William FitzOsbern and Hugh of Avranches who he portrays as greedy and over-mighty magnates.