IIS 4.0/Websense Authentication/ Website

I have IIS 4.0 running with MS Proxy 2.0 SP1. I have WebSense Filtering instaleld onthe same machine as well. I have Also Websense Reporter installed on another machine. In order for the WebSense server to show actual domain user information, I must disable Anonymous Access to the default website on TCP port 80. That means that people on the internet cannot access my default website from the internet, but internal users can. Should I move the Proxy clients to port 8080 instead of the default port 80 so I don’t have to have authentication for my normal website?