router - How to route HTTP traffic in wireless network through a proxy?

For security reasons, I'd like to route all wifi traffic in my home network through one computer acting as an HTTP proxy. I'm thinking something like:

• Connect my ISP's cable modem to a wired router (A)



• Connect my wireless router to router A


• Connect the computer that will be the HTTP proxy to router A


• Specify the IP address of the HTTP proxy in the wireless router

Thus wifi traffic should go through the proxy.

My questions: Does this smell right, and is it possible to specify an HTTP proxy in a router's settings, like DD-WRT?