router - Is it possible to create a network proxy that accepts connections over both WiFi and ethernet?

I have a 'traditional' home network where my ISP modem/router acts provides WiFi hotspot and 4 ethernet connections for my home PCs.

I want to add a proxy server that will connect to the modem via ethernet and then it will route all the home network traffic. I want it to accept connections both over WiFi and ethernet.

Is it just a matter of buying a WiFi adapter that will act as 'master' and an extra ethernet adapter(s) that will connect to PCs then proxy software such as squid will route all traffic from these adapters to the outgoing modem connection? What consumer-level WiFi adapters provide WPA encryption as a hotspot?