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.
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