Once you set the iptables rules using the commands in the Linode Library, log in as root and run the following command (or use sudo):
Code:
root@li283-45:~# iptables-save > /root/default.fw
You can change default.fw to whatever you want to call the file. It doesn't need to be in /root either, just put it in a place where nobody can access it.
Some distributions will have the file called "/etc/rc.local", if you have it, you can add the command "iptables-restore /root/default.fw" (remove the quotes), replacing /root/default.fw with the firewall file. It will execute anything in /etc/rc.local at boot. You should also be able to do an init script, though I'm not experienced with writing init scripts, so I'm not going to attempt a sample script in case it messes up for you.
(edited to remove stray code tag)