Indeed you've found one possible solution in your local environment. There is another way in the modeler, detailed here. Disabling "emulate cloud security" will cause your app to run with full Java permissions.
If you are hosting your app yourself, you're all set. If it's going to be run in the Mendix cloud, I think you'll need to contact the support team to see if they will add this permission for you.
Ok. I have just added this permission in my security file :
permission java.io.FilePermission "velocity.log", "read,write";
Thanks to me and myself.