For the first time I am toying around with proxies. As a starting point I watched Andrew Kramer tutorial. I had an initial problem which I kinda resolved.
Instead of creating a proxy clicking a "create proxy then Movie" would create a composition and add the clip to the render queue. I can then render and set the proxy to that file. It's not such a BIG deal but my project has 130 clips so I will have to set them all manually. In Andrew's tutorial all was automated, so I am a bit baffled as to why this is happening.
Now that I've created the proxy, using Motion jpeg as Andrew suggested, I find myself facing another problem, the proxy is a LOT brighter :
Now I don't really understand why since when I watched Andrew's tutorial the before/after using change the quality but not the brightness.
With any compression you loose information, so you will loose some of the color info. The shots are not that different for editing or graphics work. If you want to color grade or work on some visual effects you should work on the best quality of material you have anyway.