PfSense
Some tips about pFsense.
(Tested against v2.0 2011-11-11)
Adding packages from the command line (menu choice #8) WARNING, this is unsupported and any packages you install this way will not show up in the pfSense menu under System->Packages.
pkg_add -r packagename
setenv PACKAGESITE ftp://ftp.freebsd.org/pub/FreeBSD/ports/i386/packages-8-stable/Latest/
pkg_add -r tinyproxy
Now we're in business. But wait, /etc/rc.conf doesn't exist. Create it
echo "tinyproxy_enable=YES" >> /etc/rc.conf
Now tinyproxy can be started
/usr/local/etc/rc.d/tinyproxy