I hate to sound negative, but I would seriously consider not using software based firewalls unless you are not too worried about your system being compromised.

The bottom line is the software based firewall is only as secure as the OS it is running on. Period.

If you want to get serious about firewalls you may want to consider something hardware, It will probably cost the same or less than the linux box you proxy through now. The security benefits of a basic SPI firewall running Nat will out perform (especially for speed) your basic software firewall.

To answer your question. No, you cannot possibly secure http completely. Any connection you have can eventually be exploited for a weakness. The best thing you can do is keep your data protected/encrypted, backed up, and "treat every day like a good day to lose your data."