Then there's not an issue, unless they give a bad reason as to WHY they want to use a proxy.
Obviously, if it is asked by this person, you can safely assume they are trying to evade a G-line and therefore, you should not help with it.
It's a matter of common sense - if someone is trying to evade bans or flood/annoy/abuse/harass people on IRC, or you strongly suspect they are, either a) Refuse help b) Ask the person further questions as to what they want to use the help for (Unless it has been explicity described in their original post).
You can always PM a moderator for advice if you're unsure.
Regards,