Unity Networking using proxy server.

I'm trying to make a simple turn based board game on Unity that is playable online. However, NAT punchthrough doesn't seem to work in most cases while trying to connect players. The documentation seen here - http://docs.unity3d.com/Documentation/ScriptReference/Network-useProxy.html - talks about using a proxy server to connect players. How effective is this solution? Does it guarantee at least 95% connection success? And also, I would appreciate it if someone could guide me in setting up the proxy server correctly for use with Unity.