I don't know what you're currently running now, but a very popular one is phproxy. You can heavily customize the skins.
The fact of the matter is that a proxy is going to take up a lot of memory and bandwidth on a server, because essentially many people are browsing the internet through your server.
Tell me this: if someone were to be downloading 45 different pages at one on a single computer, would it use a lot of memory. Yes. And bandwidth? Yes. Would it slow down. Of course.
This is what you run into when you run a proxy site.
Hope that helps you considerations.
-Steve