Are EJBs the best solution to make a component which have to manage a hardware device (modem, fax...) and provide access to them?

I would suggest not, because these devices would probably be served best by Singleton Objects which could control the access to the device, and EJB does not support Singletons (in a standard way).

A suggestion is to delegate the call from an EJB to another Object, possibily an RMI or CORBA object or even an a Java object implementing the Singleton pattern, possibly using JNI to use OS-dependent device access libraries.