I have problems with the firewall under Linux and my SIP application.

I think there are three ways around it:

1. Try to get Netfilters/conntrack sip / rtp to work
2. Install UPNP on the server, and get the client to use UPNP to open RTP ports etc

Maybe option two is the cleanest?

There is a UPnP client library here: http://pupnp.sourceforge.net/

Server stuff is in a package called Linux Internet Gateway device, I think.