H - I've done this - but am considering switching off and moving onto Parental Controls!
I have a RaspberryPi running ipfire, enabled in proxy mode with url filtering. The Pi is dual homed, red side plugged into my BT hub. I hang a 2nd wireless access point off green side which is used by the kids. I put the SSID & password that came on the BT hub (public knowledge in the house) onto the Pi and put a new secret one on the BT hub. Only change necessary was a change to the proxy setting on the browsers of impacted machines, and a localhost change to support the local dns lookups that appear to work when you are connected direct to the hub, but not via the proxy.
So why change to Parental Controls? There is a fair amount of support necessary with a proxy server. Some is one off - getting printers & scanners to work for example took a bit of fiddling (printer is red side). But then I don't want to stop online gaming completely - however every new game the kids download needs a different IP/port combination added to the rulebase, involving ongoing maintenance. Parental Controls seems an easier option, combined with the mac address time limits on the hub itself to lock access after bedtime.