I put a proxy on OpenWrt - do I need to specify it as a proxy for all home devices?

Question

proxy

Hello! I flashed the OpenWrt home router, its address is 192.168.1.1. I want to install the privoxy program on it to block ads.
I understand that this is a small proxy server. The question is - will it be necessary to set the proxy address on each device - 192.168.1.1, or will it not be necessary to do this, because the router is already a gateway for this network?