Here are some notes on blocking outbound traffic:
http://wiki.contribs.org/Firewall#Block_outgoing_portsThis method does *not* prevent access to the web or smtp proxy servers, so you would still need to address those issues.
The SMTP proxy can simply be disabled.
For the web proxy, you could install DansGuardian or you might get what you want by configuring your SME to use your regular proxy as an "upstream proxy" -- then the clever students could redirect their browsers, but they'd still be using your main proxy...
I've never used it, but you may be interested in
http://wiki.contribs.org/Vnstat so you can monitor what goes through your SME.