These are really rough notes of my process. They maybe helpful to someone else, or may just be a useful reminder to me later.
Sophos XG in their netx gen product and it does more than the UTM product: https://news.sophos.com/en-us/2015/11/10/sophos-xg-firewall-a-network-security-ecosystem-with-many-innovations/
How can I build one using their free XG home software?
There are a bunch of bare bones devices that can run XG Home Edition at around $250 to $300.
I was looking for a cheap way to build this and looking on ebay I saw a bunch of pfsense upgradable devices.