There's a couple of ways of doing this. You can go "old-skool" and build it from scratch (as you appear to be doing), or grab a copy of <A HREF="http://www.smoothwall.org" target="_new">Smoothwall</A> - 20MB download, <A HREF="http://www.mandrakesoft.com/products/snf" target="_new">Mandrake SNF</A> 280 MB download, or the firewall distro of your choice (Astaro, etc, etc).
Being a geek, I've been gone from running "regular" SuSE firewall software, to OpenBSD DIY firewall box - but have just gone back to Smoothwall. Very very easy to setup and use.
Problems like you describe are usually routing or default gateway problems. If you post the error messages (if any), I may be able to help. Otherwise, take a look at <A HREF="http://www.tldp.org" target="_new">The Linux Documentation Project</A> for related HOWTOs.
<i>How the heck does Tom know I'm addicted??? Not that I'm paranoid...</i>