To separate via VLANs is easy with DD-WRT/OpenWRT as it's built right into the GUI. I'm pretty sure there's not any Proxy settings in the GUI, but I would imagine you could do someting via CLI. Or as it's Linux, you can compile your own.

If your DD-WRT has a USB socket, you can install Optware, which has a bunch of pre-compiled programs you can easily download and install. Have a look here:
http://www.dd-wrt.com/wiki/index.php...tware_packages

A quick search for "proxy" on that list turned up this, which you could look into:
connect - 1.96-1 - A simple relaying command to make network connection via SOCKS and https proxy.

Be ready to roll your sleeves up and get dirty tho, just because DD-WRT has GUI doesn't mean you'll be able to do whatever you want with a few clicks. In most cases, you need to go in CLI, make mistakes, and improve your learning curve before you get anything done



PS- The top router at the moment for DD-WRT is probably the ASUS RT-N16 (DD-WRT is not pre-installed, but it's pretty much built for it):
http://www.microspot.ch/microspot/pr..._Gi/detail.jsf