sorry only been dipping in/out of this topic, not sure what your working with or targeting, so i may be writing stuff u already know better than me...

anyway, proxies are usually larger in file-size than source... the heavy compression used in HD/HDV is why; the resulting proxy files may be huge but should be easy (or easier) to play on your Vegas timeline.

test your AE output on a Vegas timeline; if u've done it right u should have much better playback. (i'm assuming your "Avid" preset is one u cooked up in After Effects for the DNxHD codec)

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hopefully someone can give more relevant info on this to your needs.

mostly i work with RGB with some EX-1 and the occasional RED; i don't use proxies much as i'm located near the end of our (post) production pipeline.