It appears that our firewall is not allowing connection to outside MX
hosts.  I think I need to configure sendmail to forward emails to our
local smtp host, but I am not sure how to do that.

Best to do that anyway. Some e-mail providers will only accept e-mail from known mail servers (AOL)
and bounce if the IP of your sending server is not a static, known mailserver.

What you want is 'SMARTHOST'.

DSmy.mail.server.com in sendmail.cf

or

define(`SMART_HOST', `my.mail.server.com')dnl in sendmail.mc