It really depends on what exactly you need it for and how persistent users you have. Maybe if you block the most obvious servers, they will give up. The major thing against you is that all they need is just one working server.
Behind a ccr I have a very sensitive network with about 150 clients.
There are several different servers on this network, with important information.
All this is done to prevent any type of virus, worm ... etc. in the network .
I already use the Joshaven Potter script to update the Spamhaus, dshield, and malc0de lists.
I also have a lot of rules based on ports in the forward chain. I use AdGuard DNS and redirect all queries to my router.
By blocking proxies, I will try to reduce the risk of any attempts to circumvent the rules!