it will NOT help like daim said. if your game server is located at US and use SG proxy hoping for ease the lag for asia players, that is useless. Asia players will reach your proxy at low latency but your proxy will STILL forward that request to US.
1. proxy is very useful if you try to hide/protect your real game server IP from attackers. They will only see proxy IP not the game server IP.
2. proxy is very useful if you try to correct network route.
There is still way to figure out real ip altough you using proxy. My server heavily hit by ddos altough using proxy. The real way to battle this get real DDOS protection.