... or does Castle need to have control over the construction process in order to wrap the object with the proxy?
I've tried a few different configurations - below is the one that I'm currently using, but the Interceptor is not being applied when I make a request for the object:
container.Kernel.Register(Component.For<IMyService>()
.Instance(myService)
.Interceptors(InterceptorReference.ForType<MyServiceProxy>()).Last,
Component.For<MyServiceProxy>()
);