I installed TinyProxy first. Its configuration file lives in /etc/tinyproxy called tinyproxy.conf.
I set it up to run as root with group root and to listen on port 3128. (The overall setup is that Firefox will use 8080 as a proxy address. DansGuard will sit on port 8080 and forward requests to TinyProxy on 3128. DansGuard will then run the rule over what it gets back from TinyProxy before deciding to allow/disallow the content to be forwarded to Firefox).
You can (and should) test the TinyProxy bit independently of adding DansGuard. It runs as a daemon by default. Use tail -f on /var/log/tinyproxy.log to watch what is going on.
Note: TinyProxy seemed to significantly slow down browsing for me. I was expecting some sort of hit but not a hit of the size I was experiencing.
I was on the cusp of the verge of the edge of the decision not to bother with the whole setup at all. Why bother if it was going to make browsing porky slow?
Luckily, I was dead tired at the time and decided just to proceed and see what would happen...