1) Yes you can create your own router and install pfsense
2) Depending on what service you pay for At&t should work fine with pfsense
3) Gigabit performance would be dependant upon the hardware of your router and the At&t service you are paying for. Pfsense can certainly administer networks using gigabit ethernet.
For more specific help with pfsense I suggest checking out their forums here:
https://forum.pfsense.org/index.php
From my experience the users on the pfsense forums are extremely helpful with questions relating to custum builds.