Yeah, if you use the iptables-save binary you'd need to specify where to send the output. Example:
iptables-save > /etc/sysconfig/iptables
The "service iptables save" mentioned by r3sistance
seems like the most popular method to me (for Red Hat-based distros), though. BTW, I'm moving this to Software
, as it's not a security issue (at least not directly).