I think it depends how big your forum is. Here at DaniWeb, we have a great moderation team put together, and we definitely keep tabs on problem members or potentially problem members. We're always on the lookout and we use extensive reporting tools to keep tabs.
However, we also get 1000 new members signing up a day, and it would not be feasable to start investigating and following around every one of them who uses a proxy server (especially since many access DaniWeb from work). We'd be following around a hundred thousand members just because they're using proxies, which is an inefficient use of time.