Ahhhhh. Point 3. I'd loaded the module but not enabled it.
FWIW I had to modify the pf rules slightly to get it working, the one posted didn't redirect.
Code:
## Definitions
int_if="em0"
ext_if="fxp0"
## No restrictions on Loopback Interface
## No restrictions on WAN Interface
set skip on { lo0, $ext_if }
## Redirect WWW traffic to local cache
rdr on $int_if inet proto tcp from $int_if:network to any port www -> 127.0.0.1 port 3128
pass in on $int_if inet proto tcp from any to 127.0.0.1 port 3128 keep state
pass out on $ext_if inet proto tcp from any to any port www keep state
## No restrictions on Inside LAN Interface for private network
pass out quick on $int_if all
pass in quick on $int_if all
Thanks for your help!