I'm unfortunately still on RC19 and can't test this problem.
Someone on xda-developers was able to use the adb utility to actually install the proxy app. Try "adb install Proxy.apk" from a directory on your PC that has the proxy installer.
This method was the only way to successfully install for me. I am running rc29. When installing via the normal method I would get the system overwrite warning and then an unsuccessful installation... I seriously don't think anything went wrong, but I'll knock on wood anyway.
The connection is really uneven for me, going from pleasantly fast (considering), to gut wrenchingly slow. I'm unable to keep it stable enough to get a proper speedtest done before it times out. I'm on the Portland, Oregon 3G network.
This app is somewhat cumbersome at the moment, but its a great sign of things for the future! Thanks so much for you work on this, and any future development to come.