Thanks!
Hmmmm.... not knowing much about the desingn of your project, it would be difficult to give you advice...
Usually the way that I have heard of interacting with
EJB's this way is to have your data and business logic encapsulated in your EJB's, use servlets to provide a thin web presentation layer, and/or use a Swing application to provide a thick GUI presentation layer.
According to this plan you would probably access your EJB's directly from your Swing applet, though, since I'm not aware of any design considerations, that may not be what you need to do...
Is the project an upgrade of a previous servlet project that had business logic embedded in the servlet layer? You may have to call servlets in your Swing applet like you were saying, or re-design your servlet-EJB interaction...