Why would you want to do this at a router level when your motivation seems to be to bypass blocks put in place for streaming sites? Do it at a device level assuming your box has enough grunt to support an encrypted VPN connection. Firstly have a look at your chosen VPN providers site, they will usually have instructions on set-up.
If you do want to do it at a router level then expect to replace the sky router (extract your u/p first), technically it's not an approved process via Sky and doing it at a router level has all sorts of other implications for example iplayer/BBC content may not be available and you may get adverts, store redirection for online purchases etc. The other option is an old router flashed with Tomato, anything plugged into/accessing it via wifi will go via VPN, it's not ideal but it will work for what you want and take the strain off your andorid box.