I'm using this setup on a Debian Etch
Runs absolutely fantastic - I don't think you should have any problems, setting it up on a clean Ubuntu 8.04 LTS.
Normally, I setup the base system, and then pasting in commands, via putty, as this is a web guide I always have all the steps in different tabs on firefox :-)
I have installed it several times on different servers for friends etc.
I might try it on Ubuntu, in in the comming days, as my Debian needs a serious clean-up due to some other tests, which has installed all sorts of stupid packages. (my own, fault as I could had made a backup before testing...)
Webmin has a module for the Shorewall, and therefore adding rules eg. port forwarding, opening ports etc. etc. is very easy.