When I setup a connection through the firewall on my WatchGuard I open port 1433 from the DMZ to the LAN and from the LAN to DMZ - IP to IP rule. I've always had this work for me.
As for time-out - I've had a number of problems with Netscreen firewalls where we try and move large files (50GB) across two network ports on the firewall and it always dies part way through. I replaced my Netscreen firewalls with WatchGuard ones and eliminated the problem (after giving the nice Netscreen support people 30 days to diagnose/fix the problem).