Grant highlighted the correct procedure. However, we are aware that some "Create Project Media" jobs never end. As it is stated on the startup screen "Smoke is still under construction" and there are some parts that unfortunately don't work at 100%.
I'm afraid you just hit one.
Flame / Smoke Senior User Experience Designer
Autodesk Media & Entertainment
This also happened to me and I thought it was because I did something wrong. I fixed it by restarting both the Mac and SFM2013. Then the proxies started being created in the background without any further intervention.
What about with the 2012 version? I tried copying a clip using the store local copy button and it doesn't stop 'pending render' and in the background processes it say 0% progress and when i click on execute selected, nothing happens.