Michael,
As a long time M$FT user and admin, and recent SBS-to-SME convert - I commend you on your decision to make the change. You will not regret it. I moved a client of mine off of SBS about 4 months ago...and most people don't even know it happened! lol
I wouldn't stop at just the Proxy piece though...I'd let the SME box handle ALL of the SBS chores (file/print, mail, proxy, dhcp).
You don't mention if the SBS box is acting as the PDC for the network - but I assume if that's the only server there - that it is. You could also have the SME box handle the PDC chores.
IMHO, I'd say go with your 'second idea' (let the SME box handle dhcp) - it's not really that big of a deal to implement, and if you run into problems you can simply turn off dhcp on the SME box and turn dhcp back on on the SBS machine. But trust me - having already done this very same switch...you won't have any problems.
I'd be happy to answer any more questions, so let me know. Good luck.
Regards,
Patrick