I am also going down this particular path of enlightenment and frustration.
I have learned:
1. Proxy means stand in, in other words you can see them but they are not really there in your drawing.
2. Autocad copy works on them because they stay inside the drawing but wblocking and windows copyclip/pasteclip does not because they are intended to share information with other drawings.
3. Applications that create them (arx-type programs) have a way of saving "down" so we vertically challenged people can work with them
4. You can adjust through OPTIONS command whether you get a warning they are in your drawing, and whether they show themselves to you.
5. I dislike them intensely because they create more work for me
6. If I ever decide to sell software for a living, I will use them too so people will have to buy my program if they want to work effectively with these drawings!
