is it possible to solo mine with multiple rigs by setting up the wallet on one rig and connecting all miners to it? Or do I need to setup some kind of proxy?
I have mined with 2 rigs in to one wallet, but with getwork it can be a little bit slower than with stratum pool.
All wallets use getwork.
If you follow the guides in internet. It is not too hard to set up a linux virtual machine and your own personal stratum backend. I solo mined several coins with my own NOMP pool. You dont need to set up front end for this. Only backend.