Ok, I don't have time to do a screen capture video, but I hope this works. It's kinda funky because it's supposed to be used for video files rather than still screen captures, but it will explain how to do this step by step. I need to do some videos, however, because I'm teaching several people here how to use CatDV.
First, make sure your project is open in Final Cut. Then open CatDV.
Here's the link to the screen shots and explanation. The images should be in order, but I seem to have little control over this.
http://www.screencast.com/t/wSNDcRkZ6
Note that I use this all day ever day. I don't bother to load lots of footage into FC. I just find what I need in CatDV and dump it into FC as I need it. I work with my proxies loaded on the network. Not from just one shoot, but from everything. You can force CatDV to use the proxy by holding down the Option key (I think) when doing the drag and drop. Happens automatically when all you have are the proxies.
Non-linear: all the time and nothing but.