Firstly only certain USB devices work with the RPI.. Be sure to check that they will work before buying them.
Easiest method is to use the snap wifi-ap package it will allow you to setup a Wifi access point within minutes..
Then use wifi-ap.config and wifi-ap.status to configure your ESSID and pass-phrase etc.
DHCP can be used to redirect them to a proxy SOCK5 server.
If you want finer grain control (so I wanted to create a dual channel 2.4GHZ/5.0GHZ) for your access point then you will need to setup the different components independently which isn't too hard but for a simple setup wifi-ap is quick.
This is a good guide for setting up a Raspberry pi manually..
Probably not much use as you want todo custom features but there is a RaspAP install which turns your Raspberry PI into a fully featured access point.