In Corona, proxies do not improve rendering time or quality in any way – otherwise, all scene objects would be converted to proxies internally, right before the rendering starts. Proxies are useful for keeping smooth viewport performance while handling large numbers of high-poly objects in the scene. They also help keep scenes more lightweight, since only simple proxy objects are included in the scene file and the actual objects are loaded from a different location, or even a different hard drive.
1. To save an existing object as Corona Proxy:
Go to Command Panel > Create > Geometry > Corona and pick "CProxy". Create it anywhere in the scene. Select it, go to Modify tab, under "Corona Proxy" rollout press "Pick from scene..." and pick the object you would like to use as proxy. Save the .cgeo file in your desired destination. After you save the file, a proxy object will be automatically placed in the position of your original object.
2. To load a previously saved object as Corona Proxy:
Go to Command Panel > Create > Geometry > Corona and pick "CProxy". Create it anywhere in the scene. Select it, go to Modify tab, under "Corona Proxy" rollout press "Load from file..." and load a file you would like to use as your proxy. The proxy object will be automatically placed in the scene.
To quickly turn objects into proxies, you can also use the built-in proxy exporter, which is accessible through the quad menu after right-clicking in any viewport.
See also: Corona Proxy at Chaos Documentation Portal.