I recently installed Dansguardian on my mac to have finite control over web traffic.
This post from drb80 was very helpful in getting it installed.
After you edit the conf files you'll need to restart the daemon. Here's how to do it:
sudo launchctl unload -w /Library/LaunchDaemons/org.macports.dansguardian.plist
sudo launchctl load -w /Library/LaunchDaemons/org.macports.dansguardian.plist