I currently have a proxy running for HTTP requests.
I need to install a VPN as well to bypass an IP restriction on some technology. Will I have to allow all outgoing ports on my server?
The incoming VPN port will be OpenVON's default but presumably it needs to allow outgoing port connections for various client applications? If so, won't I need incoming ports open as well - this sounds dangerous.

eg:
client--port 11xx-->my VPN server-->game application request to another site on a random port-->return on a random port to my VPN server but it needs a port open to-->return to client?