Performance of HTTP version over firewalls

We have a system that makes web service calls through a proxy. This is coded in C # using HttpWebRequest. We have had problems with the speed of these calls for a long time and I have been trying to track this. An unrelated conversation led one of the participants to say that the port we were using was using firewall software that implemented a less than optimal (read: error) for porting HTTP 1.1 calls. Of course, I gave up on the web request to use HTTP 1.0 instead of 1.1 and the speed doubles instantly. We already disabled keep-alive because it was too shaky.

So the question is, in the short term, are there any variables other than keep-alive and the HTTP version that could further speed up the speed by changing aspects of the HttpWebRequest call? I think it's hard to say without knowing about the firewall, which I don't know yet.

More importantly, they have a newer version of the software on a different port, which seems to be much better, and fully supports HTTP 1.1. Should I expect a significant increase in response times by switching to HTTP 1.1 and keep-alives?