I'm sure someone will point out my errors in this, but from what I recall, you will have a hard time tunnelling over UDP. The reason, if I remember correctly, is because UDP is a stateless protocal, its typically one-way communications (someone correct me if I am off on that description please, I'm not an expert on TCP/IP). That of course does not mean you cannot encapsulate a UDP packet within an HTTP packet. In fact, that would be a technique that a "Black Hat" might use to get around firewalls and security scanners that check packets since HTTP is typically acceptable. How to do such a thing is a little beyond me.
"Ex Libris un Peut de Tout"