Recently there have been internal discussions about the TFS Proxy and one of the engineers shared some information I thought would be useful to post:
Here are some of the best practices for TFS Proxy
For information about Team Foundation Server Proxy installation, see the Team Foundation Installation Guide available online at http://go.microsoft.com/fwlink/?linkid=40042 or the TFSInstall.chm file included with the product.
For information about Team Foundation Server Proxy configuration, refer to http://go.microsoft.com/fwlink/?linkid=62391 or in the product documentation.
For information about Team Foundation Server Topologies
For more details on the TFS Proxy Server, Refer to the following screencasts.