As far as I know Debian doesn’t have any defined way to save your iptables rules.
I’ve done it this way:

First I’ve made my iptables rules and made sure they work.
Second is to save those rules to a configuration file

iptables-save > /root/scripts/iptables.save

I always try to save my custom scripts and required files in the /root/scripts/ folder.

Now make a script that loads the iptables rules at reboot

echo "#!/bin/bash" > /etc/network/if-up.d/iptables
echo "iptables-restore < /root/scripts/iptables.save > >> /etc/network/if-up.d/iptables
chmod +x /etc/network/if-up.d/iptables

This has been tested on Debian (Etch) 4.0