Cool! I'll write it this week and get back to you.
Please post it here on HN when you're done. I'd love to read such a tutorial as well!
Same, never thought of doing that even though I run Privoxy locally and on my home internet gateway (Ubiquiti ERLite which runs ARM Debian; could probably run nginx on it as well).
Do you set up anything to terminate SSL?
Me too! Please post the link on HN when you have it available!