I see that I have an 'iptables' files and an 'iptables-config' file in my /etc/sysconfig folder.
Tells me you are using RedHat/Fedora or a redHat based distro. So, you don't really need to copy rc.firewall to /etc/init.d. RedHat has a script iptables that reads from an existing set of rules that it saves in the /etc/sysconfig directory and loads them at boot. But this script pretty much just maintains the iptables rules. If there is no file in /etc/sysconfig, the script will maintain a default ACCEPT stance.
To load the initial set of rules, you may need to write another script with ACCEPT/DROP rules to regulate traffic coming in and going out of your system. Once your execute your script, and you can see your rules when you give the command
# iptables -nvL
and you are satisfied with the way your rules behave, you can go ahead and commit those rules to /etc/sysconfig/iptables with the command
# service iptables save.