I have done this on SRX-3600 and the Websense V10K appliance. Its the same procedure if you were to do the redirect using an EX switch.
The only issue is that its easy to blackhole hole your traffic if your Websense appliance dies since your FBF will keep forwarding traffic to the dead Websense box.
If possible its probably better to do this using PAC files and let the hosts redirect the traffic.