Kids dont need to break into the building or use wireless. They just unplug a wire and plug in a laptop. They can then run any programs thats on the laptop and if they done have one or dont know how to do things they can just look things up as the internet works. But with a proxy they have to know the settings and with a proxy they dont have the authentication on the personal device and so the proxy stops them getting out.
No wireless in unbreakable but I do agree that wireless security is far better than it was I could crack wep in about 10 mins and now it takes hours. Mac filtering is a beterent to the casual pootler but spoofing macs is easy. Turning off access points is the only way to make them 100% secure but it defeats the point a bit. I know the latest version of netgear has turn on and turn off times for wifi and I surpose you could do this with squid as well.
But for hotspots its got to just go through as you say putting proxy settings in people will not tolerate.