Backtracking through anon proxies is easy, you need to ensure that your proxy is not vulnerable to giving out details thought the
X-Forwarded-For (or related) statements
on top of that its still fairly easy to pull someones data from a browser using flash embedded into a page (and even anon proxies wont stop that)
You can also do it with java or any type of activeX plugin.
So if your using a proxy, even a good one, its probably a good idea to have flash and java disabled.
You can also penetrate someones system using flash based webpage elements as well.
Keep your plugins to a minimum, use a secure proxy, and stay safe.
(its also probably a good idea to not piss off the wrong sort of people online as well)