For ports that you want to go through your proxy, remove them from line 67 (PORT_FORWARD=) of your rc.firewall. For example you would likely want to remove http, https, 8080, and possibly ftp/ftp-data. Anything set in this variable will be forwarded over nat without touching your proxy rule.
Now go down into the firewall_forward() function which begins at line 159. Lines 186-194 encompass the control structures that setup forwarding for each of the ports in PORT_FORWARD variable, so right below here would be a good place to add your iptables rule for redirecting to the proxy. Going by the examples nearby there, I think we should modify your iptables redirection rule, for consistency with other rules in rc.forward, to something similar to this:
$IPT -t nat -A PREROUTING -s $GREEN_NET -d ! $GREEN_NET -p tcp --dports http,https,8080 -j REDIRECT --to-port 9666
I have substituted "-s $GREEN_NET -d ! $GREEN_NET" where you had an interface, and changed the destination ports to include more than just plain 80.