VPN and Privoxy with PiCorePlayer?

[ChipMonk]

Apologies if this has been covered elsewhere but I have numerous Raspberry Pi B+s with IQ Audio Pi-DACs running Squeezebox Picoreplayer around my house. Increasingly, I'm also making use of VPN for much of my internet use but I keep running into problems with VPN permanently implemented on my main PC. A perfect solution would be to make use of these Raspberry Pi players as proxy servers using OpenVPN and Privoxy. I would then be able to switch VPN on and off to various international VPN servers using FoxyProxy.

Is the cut-down version of Linux on these players up to this task and, if so, what would be the best way to implement this? I'm afraid that my knowledge of Linux is very basic - I'm in it for the music!

Thanks for any assistance