Nothing to do with OpenVPN so I don`t know if this gets pass moderation.
On Vuduo I'm not 100% sure but on Gigablue with OpenATV:
Place shell script youriptables.sh in:
/usr/script
and make it executable.
Create a link in /etc/rc3.d which points to /usr/script/youriptables.sh with:
ln -s /usr/script/youriptables.sh /etc/rc3.d/S90youriptables
The number 90 determines when the script gets executed during boot.
Obviously you want it to happen after all networking is started.