Login to the SonicWALL.
In the left hand sidebar, click the disclosure triangle next to "Firewall"
Click "Services"
Where it says "View Style:" choose "Custom Services"
Scroll down to where it says "Services"
Click "Add..." (A new window will open)
In the "Name:" field type in the common name of the Service (e.g. PPTP, L2TP, SSH, VNC 5900)
In the "Protocol:" drop down choose "TCP(6)" or "UDP(17)" (If it is TCP/UDP you will need to create two services.)
In the "Port Range:" field type in the ports for that service.
Click "Add"