iptables on startup?

[John Dangler]

I just upgraded my server to 6.06, and went through iptablesrocks to get
my iptables working.  According to the instructions given there, it says
to put the firewall ruleset in /etc/sysconfig/iptables in order for
iptables rules to be loaded when the system reboots, but I don't have
that directory in Ubuntu.  Can someone here tell me where this should be
located?  Or, should I create that directory and put the ruleset file in
it ?

tia

John