Kernel compilation questions

I've been trying to get iptables set up on my 5600 (Sharp ROM), and
had the problem that the ip_tables module wasn't loaded, and _can't_
be loaded, as it's not on the device.  It IS in the 5600 kernel source
I downloaded from sharp.com/dev/, however.

So I'm curious now about recompiling the kernel (via cross-compiler on
either a Linux or OS X box) to get it, then flashing with just zImage.
The instructions on the dev download page seem straightfoward enough,
but I wanted to ask if there's anything I should be aware of.  When I
flash, do I need to copy across all the modules (ip_tables included)
manually?  I saw a warning on one of the kernel pages that all the
modules included on the device may not work with a newly-compiled
kernel, and need to be recompiled/reinstalled themselves?

And insight into my newbie questions would be very appreciated-
thanks!

Derek