To export any geometry to a file for using in proxy geoemtery, select one or more scene objects and use render setting\tools\proxy exporter or quad menu\FStorm proxy exporter.

Exporting dialog will appear.
proxy folder is a folder where all proxy files (several scene objects may be selected) will be stored. Individual file will be created for each object with the same name as object one.
preview points set viewport preview details. Higher number means more detailed preview.
replace with proxy means that all exporting objects will be replaced with their proxies.