You can get a look at the script I wrote (mostly stole from samples) here.
The CGI is a Perl script on my server, here is the source. An obvious optimization when I have time would be to generalize this script and have it take in a parameter. This way I could use it for any remote feed.
print “Content-Type: text/xmlnn”;
my $content = get( “http://del.icio.us/rss/bobbalfe” ) or die $!;