Surely

In Predefined Firewall Policies (go to Firewall > Advanced >)
Click 'Add' and name it whatever you want (Utorrent, Limewire, etc) we'll call it "Rufus" for now.
Now one at a time create all of the rules for your application
making sure to click Apply after each entry.
Once you have the rules entered, make sure they
descend in order of importance (allow rules go above block rules and so on) and click Apply to close out the new rule (missing the 'Apply' button is the source of many folks troubles).
Now go to Network Security Policy and remove your rules for the application completely.
The next time you fire-up our mystery app you will get a pop-up and you will select "Treat As" from the drop down find "Rufus" and you should be good to go.
If you don't want to wait until the next time you start it - go back into Network Security Policy and Add it manually by browsing for it (click Add and then Browse...) and then selecting Predefined Policy and scroll down looking for "Rufus" (or whatever you named it) and then Apply, Apply, Apply.
Hope this helps you, if not please let me (or someone smarter than I - that's almost everyone else) know and we'll sort it out.
Mofo