Those are good links to start with to learn about this stuff. I used to have an 871 (now have an 1811) and the 871 does most of the stuff in that guide no problem. The only warning I have is turning on ip inspect on an 871; it'll kill your throughput.
The big, and unsafe part of using "allow tcp established" is that any competent hacker can change a TCP packet to set the established bit to "1". So just leaving that open is insecure. More secure than just "permit tcp any any", but still more insecure than it needs to be.
And to answer your question, just like with TCP, UDP will respond on the port that you sent it from.
For simplicity sake, think of UDP like TCP; just connectionless.
Best practice from what I've heard is to use reflexive lists on border routers (in your case, this would be fa0). Then apply an ingress VACL on VLAN 1 (or whatever other VLANs are on your 871).
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