Piedie
Setting up your SME and putting it into a DMZ should work just fine. You then rely on SME as the router and firwall and life does become a bit easier. I have done this successfully with Billion, D-Link and Dynalink Routers as it avoids the double-nat issues and has all ports on the outward facing NIC available from outside
I have also successfully used DHCP bridging (DHCP Spoofing or half-bridge) and set the outward facing NIC in SME to DHCP. This is a variant of the PPPoE mentioned above. This automatically gives the outward NIC the public IP. This method has a few more issues than above.
These experiences tend to neutralise some of the comments above. They also more fully exploit the features os SME in server - gateway mode.
The issue of whether the server and firewall should be in the same box is seperate issue
I had less success when I used a Zyxel 660 wireless and ADSL router even though the capabilities of that router were similiar. Dropping out was one of the issues. After doing some reading, I found that disabling wireless only really turned on or off the wireless reciever/transmitter, leaving the IP routing/filtering rules the same. These rules differ from a standard router because of the additional interface (the wireless interface) which is intended to face inwards but in the case of an SME server in gateway mode, ends up between the server and the router.
I think you would do better if you were able to use a different router without the wireless interface. You might also gain some additional leads by browsing the IPCop forums.
www.ipcop.org.