With sufficient processing power, proxies are generated in real time. Otherwise, this occurs as a post-process. To achieve better performance, or to use higher quality proxy types, you might want to perform clip input without proxy generation, then edit project settings to generate proxies overnight.
You may create projects with proxy management options set to generate proxies for HD clips. If your hardware configuration supports on-the-fly proxy generation, your clips are captured and proxies are generated as part of the real-time input process. Otherwise, you may be required to wait for proxy generation once the capture process itself is complete.
Once you have completed the capture process, turn proxy generation back on. If you have captured many clips, this process could take a long time. You may want to do this when you can leave the workstation unattended, for example, overnight.