Nice! Which software are you going with?
I’ll try OPNsense, I was going to do proxmox and then a VM. But is too much to start with
For a firewall I would probably just run it directly on the device rather than putting it in a VM on top of Proxmox. If you want to run other things in VMs then run Proxmox on a NUC (or one of the HP/Lenovo etc mini PC devices that are fairly cheap secondhand) behind the firewall.