No, I don't need any firewalls. For clarifying the picture, this is my intended setup:
ADSL1 + ADSL2 > Load Balancer > Squid3 Server > LAN
Squid server is already running fine with UFW configured for my needs and it is handling all the authentication and firewall stuff so I definitely don't need another firewall.
I just need to add another ADSL line to the setup and that's it. I'll take a look at Zeroshell, thanks for the tip.
A bit off-topic, but if you could please answer this one, would Zentyal allow me to configure the load balancing in a way that when one ADSL line reaches a specific limit i.e, 300 GB, all the traffic is directed to the other interface? We've got download limits/month here and they charge more than double if the limits are crossed.
Thanks again.