OK seeing as how you guys liked my metaphor, I'll extend it some
An anonymous proxy is a bit like having a P.O. box and then having the post office remail the contents to you.
Reagardless, your address is still recorded( IP logged) somewhere, but it's a matter of who has it. If a proxy server is run by someone we can trust, it is a good aid to increasing your privacy and possibly security. Those who have been around for a while will know that proxies are good for more then web based protocols. For years s'kiddies have been using misconfigured Wingate proxies to crack with little fear of reprisal, typically using telnet.