Your workflow is a little wonky. You want to work at full resolution. Speed up the ram preview by setting comp resolution to 25%.
Low Rez proxies only save time if you are dealing with high-resolution stills. If you want a lo-res proxy of video footage render it and that usually wipes out any time saving you would gain with a proxy.
If you type proxy in the search box at the top right corner of After Effects it will take you to some instructions on how to set up and use proxies.
Follow Rick's instructions - work at full resolution and your new proxies will let you run scrub through your footage with relative ease. RAM Preview is also your friend here, if at a certain point in your work you would like to see your effects. Space bar, do not choose the Play arrow in the Preview pane. Even better is to choose SAVE RAM Preview from the pull down menu from the top menu bar under Composition.
To creat a proxy; Right-click your FOOTAGE in the Project window, choose Create Proxy, choose MOVIE, then in the Render Queue click the Output module and choose your Format Options. I have good luck with using Photo-JPEG at about 93-94 quality. Make sure Post-Render Action is set to Set Proxy!
Thanks for the responses. Although I've been using AE for a number of years, this is the first time a project has been long enough duration in HD to warrant the use of proxies so I'm a proxy newbie.
The compositions I'm using have been created as layered PSDs then imported as compositions into AE. There's no movie files involved, just still elements created in Photoshop. AE seems to be building previews of smaller 576 test comps faster and with longer preview durations than 1080 comps with low res proxy footage. I think maybe after effects still has to render a 1920x1080 sized image to memory, even though the layers within are lower res proxy items.