If you prefer a "fancier" GUI way to configure iptables, there is this:
program. It's called Firestarter, uses a wizard to help you throught firewall configuration and has some additional functionality as well. I've never used it myself, but my kids use it on their Linux boxes and they have good things to say about it.
Like Falco, I tend to just write the rules and/or use vi to edit the actual iptables rules file.