Proxy Servers as pseudo parental controls

Hopefully someone can provide some insight...

I have young teenagers who just love to surf the u-tube world from their iPod touch / Kindles / iPhones and, to the best of my knowledge, there are NO parental control type programs available for these devices due, in part, to Apple's 'every application lives in it's own world' policy.

I've considered using some sort of proxy server to act as a 'gateway' to the web with some application to restrict access to objectionalble / inappropriate web content for these devices - i.e., parental controls.

Am I mis-understanding what a proxy server is / does? If not, I would certianly appreciate any input as to how to accomplish this. Teenage boys can find a lot of content through sites like u-tube, whether intentionally or not, that puberty prevents them from bypassing on their own.