To install TMG, then SP1 then RU1 for any reason, is a long way drive if you follow the normal process!
I found the below way to install the slipstreamed source of TMG with SP1 in one DVD. Follow the steps as shown below to end up with the upgraded copy
ServerManagerCmd.exe -inputpath ^<DVD_path^>\FPC\PreRequisiteInstallerFiles\WinRolesInstallSA_Win7.xml -logPath C:\Windows\TEMP\TMG-Prerequisites.log
Enjoy.