You also made a mistake in your setting of the localhost proxy in firefox, it should have been 127.0.0.1 port 12080 (you missed a zero) the web shield proxy port.
Oops, typo when posting -- I do have the port setting at 12080.
The lookup delay I'd mentioned is when FF displays "looking up ...." in the status bar after I've clicked a link, either on a webpage or from my bookmarks. Like you, I assumed it meant a DNS lookup, but my son thinks that if the browser's proxy setting is to "auto-detect", it has to look up what the proxy is for each new link and "looking up" could also mean that.
Whatever the problem is, it's gotta be in the new FF rather than anywhere else ... as I'd mentioned, if I got disgusted enough to try with IE8 instead, that went smooth and quick without having to touch its proxy settings.
Since the manual proxy settings for FF do make a huge difference, I guess at this point there's nothing more to do but leave those as-is and wait for Mozilla to work it out at their end and do a proper repair. Don't know if Tech's suggestion about unticking "ignore local connections" makes any difference (doesn't seem to, going by what the web shield's showing as having scanned), but I'll leave that for now too.
Thanks for all the help. Oh, almost missed the one from Francois -- I refuse to touch
any 3rd-party toolbars, and try to keep even the "native" ones to rock-bottom minimum, but thanks for pointing out that's a possible contribution to the problem.