Yes but dangerous, if you want the crimz of the internet using your internet connection as a access point for there fraudulent activities then start a proxy.... I suggest logging if you can, that way if you do get in trouble with the feds / ISP then you have logs to prove.
Absolutely -- I would recommend binding the proxy server to only allow certain IP ranges, namely the ones that you would be logging into the server from, as that would prevent a lot of problems. Also, adding password authentication would be good as well.