This tutorial covers an alternative workflow for saving proxies as .vrmat files, as well as creating a custom library of proxies.
The process is nearly identical for both SketchUp and Rhino.
Here is a step-by-step description of the process:
Convert a piece of geometry into a Proxy Mesh. Either of these UI paths are applicable:
||Extensions|| > V-Ray > V-Ray Objects > Export Proxy or
||V-Ray Objects Toolbar|| > Proxy buttons > Export Proxy.
Save the Proxy Mesh as a .vrmat file by going to V-Ray Asset Editor > Geometries > Right-click on the Proxy Mesh > Save As.
To utilize an already existing .vrmat proxy file from your library, load it through the V-Ray Asset Editor: V-Ray Asset Editor > Import Asset File and click on the folder icon at the bottom of the V-Ray Asset Editor.
In SketchUp, the proxy file imports into SketchUp's Components menu and can be accessed from there.
As a bonus, the tutorial shows how to create a custom library of proxies that are easily accessed through the V-Ray Asset Editor's Library window (left rollout window).