I can understand why you might find it desirable to use a proxy. Though I don't think it gives you a great level of security, it does give you a little bit. There are occasionally sites that I will check out that I would prefer not to leave an easy trail on. Also it's really a requirement to get around a URL filter at times.

Anyway that being said, I still recommend a couple levels of protection on top of that. Specifically a decent dedicated firewall. I prefer the PIX for this, but I know that's going to be a little pricy. Particularly for a SOHO user. You can do a really decent job with a Linux box as has been outlined a number of times here already. Take the time to understand what you're doing and do it correctly. If you're concerned about being scanned, see about setting up a mechanism to log denied inbound traffic and review the logs.

The second level can be a "personal firewall" This is software that runs on your machine. Look at ZoneAlarm or BlackIce or Norton's Firewall. They all do basically the same kind of thing. Again, take the time to understand what the software does and how it works. Depending on your firewall solution, you may be partially exposed when you establish a connection out.

The third level is a solid and up-to-date anti-virus software package. This should greatly reduce or eliminate the threat posed by a trojan.

The fourth level is to disable all unnecessary services running on your system. Have a web-server installed? Disable it unless you're using it. Same goes for DNS, SNMP, SMTP, etc. etc.

Finally you can check your own system. Grab nmap and scan it yourself from another system. This will let you see what someone on the outside would see. It will also let you see what your logs look like when someone tries an nmap scan on you.

You can also identify internally what ports are open. Grab Fport from Foundstone.com. Quick little executable. If you find something open and you don't know what it is, track it down. If it shouldn't be there kill it. Find out why it's being opened, consider removing or disabling the service responsible.

Good Luck!