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It's not enough to put it only in /etc/rc.d/init.d, but you're close. Now check which runlevel you're running (the command is 'runlevel') and symlink the script you just created to /etc/rc.d/rcX.d/SYYfirewall (example), where X is the runlevel and YY is a number. Make sure it's after your orginal firewall (scripts are run in order of the numbers, S means to start it). Example filename /etc/rc.d/rc5.d/S80firewall.
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