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 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. 
 Agree - on the router, just run your OPNsense directly. You want it to be a dedicated device.