Going through walls, or "tunneling" happens for two reasons:
a) the object is moving too fast and located on one side of the wall in frame N and on the other side in frame N+1
b) the object's center is allowed to penetrate the wall and then gets pushed out on the other side

For (a) lower PH_CHECK_DISTANCE, increase PH_FPS_MAX
For (b) modify ph_setcorrections, increase PH_FPS_MAX

In either case be sure to read the stickies and search this forum.