You have created the wrong directory, you need to create /Library/StartupItems/Firewall/ It is this directory, /Library/StartupItems/, that OSX looks for when looking for items to run at startup.
Otherwise the rest looks fine.
As I understand it from other people the /Library/StartupItems/ directory may not exist by default. It was so long ago that I can no longer remember if I created it or it was there all along. Here are the permissions from my machine:
drwxr-xr-x root wheel /Library/StartupItems/
drwxr-xr-x root wheel /Library/StartupItems/Firewall/
As a note, never do anything in the /System directory.