Usually you can easily and efficiently set your router up to do it.

For instance on my cheap and old ADSL router, I can log into the
administration pages, click on Port Redirection, click Add and I'm away.

If you want an HTTP proxy and are using Apache, then mod_proxy is the
way to go.

It's quite simple to write a proxy as a small Java program. There are
probably lots of examples out on the web.

Tom Hawtin