I want to set up my firewall to allow it to act as a proxy server for traffic from the WEB interface. The issue I have to solve is that the wifi set up at work block certain sites so when I use my mobile to connect to lets say 'Soundcloud' works wifi blocks this. The idea is if I can get the pfsense box to work as a proxy I can set up the phone to go through my own box and internet connection.
All tutorials I have seen shows the proxy set up on LAN.
You may also achieve that by running a VPN server and connecting your mobile to it.