This is something that annoys a lot of people, fortunately the Redhat style OS's are the most simple in this respect.  I disagree that Debian's way makes sense, it is more of a hackish approach in how they implement iptables.

Anyway, for those who are using Redhat/Centos style OS's it is very simple.

Set your rules from the shell/command prompt and to save the iptables firewall rules so they are remember/loaded on boot just run this command:

service iptables save

What happens is the rules are automatically saved to /etc/sysconfig/iptables

If you make frequent changes it's wise to manually back that file up or make copies of it.  The reason this works well is because Redhat has a smart initscript that always check upon startup for rules in the /etc/sysconfig/iptables and loads them if they are found.

After this everytime you reboot your iptables settings will be restored and preserved.