For example I am just thinking about V8Supercars, which doesn't allow streaming to NZ or AU. So should I choose a proxy server which is close physical proximity to AU or does it really not make any difference?
The answer to your question is both yes and no. It depends on lots of different variables.
Ideally however you would want to use a VPN that is close vicinity to the source of your traffic for the best performance or a DNS redirector that's going to deliver you a stream from an optimum CDN location.
FPR: or you could join getflix ( I use them for the V8s) works great and only $3nz a month