The RouterOS docs show how to transparently proxy all web traffic via the HTTP proxy built into RouterOS:
/ip firewall nat
add in-interface=ether1 dst-port=80 protocol=tcp action=redirect to-ports=8080 chain=dstnat
/ip proxy
set enabled=yes port=8080
I'd like to run a proxy on another machine, so that I can take advantage of more sophisticated filtering rules available in Squid or the like. However, if I use NAT to redirect traffic to another machine running Squid it won't work, since the HTTP request will need to be rewritten in order to be a proxy HTTP request; just redirecting the traffic gives bad request errors from Squid.