Let them go look at whatever they want, but make sure they know you might check up on where they've been. Kind of like, "You can go to the party, but I'll be sniffing your breath when you come home." Then filter sites by total page views. Anything they hit once in a month isn't a problem. Anything they're hitting 100 page views a day you'll want to look at.

And as for the implementation, I don't think it's really feasible without using a separate proxy. But then, you did say they're rich. Throw a server appliance in the basement and run Cat-5 throughout the house.