"do the routing at the wi-fi router level."
To make this work you'll need either.
a. A router that can use that USB card.
b. A datacard that has its own WiFi.
c. A PC to host the USB card and something like http://virtualrouter.codeplex.com/
Since you don't have a, b or c, you may be unsettled or upset that you have to use proxy and more tricks to get it to work and later have to spend hours doing and undoing settings. After awhile I find folk get the message and either get the right parts or just live with their new juggling career.