is using an anonymous proxy a good idea?

[planetwaves]

Hi All, I have a few questions concerning using an anonymous proxy. I'm not a techie but have basic AV protection, a wireless router, protowall software, etc. I recently downloaded Firefox's Proxy Switch extension. How important is it to use an anonyous proxy? Does it provide extra protection? What are the pros and cons, if any? Thanks in advance for any responses... Jim