If I config Iptables with guarddog in KDE and then.
 

Switch to Windowmaker do I need to run guarddog again?
The reason I ask is that I cannot do it in windowmaker, for some reason sudo does not work.

If sudo does not work, make sure you have added your username to sudoers (search for the file and read man sudo). If you mean you don't get a graphical box asking for password, then run the command from terminal (I just assumed guarddog is a gui app for the topic talks about KDE, sorry if I misunderstood).

If you deal with iptables, you don't need to re-run them if you switch to windowmaker. Windowmaker is just a window manager, and KDE is just a desktop environment (which includes a window manager), so what you did was just switch the program you use (from KDE to windowmaker). Iptables, on the other hand, is a process that does not care whether or not you even use graphical environment or console. Iptables just deals with the connections, not KDE or windowmaker.

I just use guarddog because I dont know how to use Iptables manually and would probably forget anyway. Thank U.